For a random variable X N(, 2 ), the probability of realizing a value x outside the range 2 is roughly

For a random variable X ∼ N(μ, σ²), the probability of realizing a value x outside the range μ ± 2σ is roughly 5%. What proportion of the market portfolio should an agent hold, if she is willing to accept a nominal loss with no more than 2.5% probability? Assume that there is a riskless security and the risk free rate of return is r.