Suppose that you use a quadratic utility function, U = E(r) - 1/2 A sigma^2, to make your financial decisions.
The average historical return for large US stocks is 11.63% with a standard deviation of 20.56%. Suppose that you also use this for your estimates of E(r) and sigma.
Suppose that in choosing a portfolio consisting of a risk-free asset (where r_f = 3%) and large US stocks, you invest 60% of your money in large US stocks (and the rest in the risk-free asset). What does this imply about your risk aversion coefficient, A?