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Exercise 2. Suppose that there is one risk free asset with return 1'; and one risky asset with normally
distributed returns, 1‘ ~ N(p,a”). Show that the mean-variance utility function is equivalent to the CARA
utility ufir] = —e‘*‘i&quot; (they are representations of the same preferences}. Use the fact that if a random variable x is distributed normally with mean a; and variance erg, then Em] =

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