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