Suppose that an investor uses the following mean-variance utility function:

Dr Activitus Riskusson with a risk aversion coefficient of 9 currently owns a portfolio with an expected return of 4,8 per cent, and a volatility of 40,7 per cent. Suddenly, the volatility changes to 57,5 per cent. What is the lowest possible new expected return such that Dr Riskusson's utility remains at least on the previous level?

Instructions:

• The answer is given in per cent using one decimal place. This means that a return of, say, 10.1 per cent, is expressed as 10.1. Do not add anything else, not even the "%" sign.

• Should

  there be intermediate steps in your calculations, please remember to

  keep a large number of decimal places in all intermediate calculations,

  as the final answer needs to be exact.

• Although the final answer is given in per cent, in this question all intermediate calculations should be done in decimal format in order to get it right.