An investor has a quadratic utility function with a coefficient of risk aversion of 3.7. The investor can allocate her funds between two assets, assets 1 and 2. Asset 1 has an expected return of 5.6% p.a. and a standard deviation of returns of 8.8% p.a. Asset 2 has an expected return of 9.3% p.a. and a standard deviation of returns of 14.0% p.a. What is the optimal or utility-maximising weight on asset 1 (to three decimal places) if the correlation between returns on the two assets is 0.27? Note: Express expected returns and standard deviations in decimal form

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