Question: Consider two assets, E and D as follows: E[r] (decimal) risk (decimal) E 0.10 0.21 D 0.07 0.11 The correlation between the two assets is

Consider two assets, E and D as follows:

	E[r] (decimal)	risk (decimal)
E	0.10	0.21
D	0.07	0.11

The correlation between the two assets is -0.20. How much should an investor with a coefficient of risk aversion of 8.50 invest in E so that her utility is maximized?

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