Consider an investor with mean-variance utility and risk-aversion parameter A=1. The investor has access to a risky portfolio P with E(r_P)=9% and variance 0.64, and to a risk-free asset with return 0%. The optimal fraction of wealth to be invested in P is _______.

approximately 14.06%

We need to know the correlation between P and the risk-free asset to answer this question

None of the provided answers are correct

11.25%