Geta has risk aversion of A=3 when applied to return on wealth over a one year horizon. She is pondering two portfollos, the S\&P 500 and a hedge fund, as well as a number of one-year strategies. (All rates are annual and continuously compounded) The S\&P 500 risk premium is estimated at 6% per year, with a standard deviation of 21%. The heclge furd risk premium is estimated at 9% with a standard deviation of 36%. The returns on both of these portiolios in any particular year are uncorrelated with its own relums in other years. They are also uncorrelated with the returns of the other portfolio in other years. The hedge fund claims the correlation coelficient between the annual return on the S\&P 500 and the hedge fund return in the same year is zero, but Greta is not fully convinced by this claim. Q-1. Assuming the correlation between the annual returns on the two pontfolios is 0.3 , what would be the optimal asset allocation? (Do not round intermediate caleulotions. Enter your answers os docimals rounded to 4 ploces.) 0.2. What is the expected rak premium on the portfolio? (Do not round intermediate calculations. Enter your onswers as a decimal rounded to 4 ploces.) Geta has risk aversion of A=3 when applied to return on wealth over a one year horizon. She is pondering two portfollos, the S\&P 500 and a hedge fund, as well as a number of one-year strategies. (All rates are annual and continuously compounded) The S\&P 500 risk premium is estimated at 6% per year, with a standard deviation of 21%. The heclge furd risk premium is estimated at 9% with a standard deviation of 36%. The returns on both of these portiolios in any particular year are uncorrelated with its own relums in other years. They are also uncorrelated with the returns of the other portfolio in other years. The hedge fund claims the correlation coelficient between the annual return on the S\&P 500 and the hedge fund return in the same year is zero, but Greta is not fully convinced by this claim. Q-1. Assuming the correlation between the annual returns on the two pontfolios is 0.3 , what would be the optimal asset allocation? (Do not round intermediate caleulotions. Enter your answers os docimals rounded to 4 ploces.) 0.2. What is the expected rak premium on the portfolio? (Do not round intermediate calculations. Enter your onswers as a decimal rounded to 4 ploces.)