Given:

- The CAPM may or may not hold.

- The market has an expected return of 10%

- The market has a standard deviation of 40%

- The tangency portfolio has an expected return of 12%

- The tangency portfolio has a standard deviation of 30%

- Apple makes up 12% of the market and is also part of the tangency portfolio

- Apple has a standard deviation of 20%

Vienna has mean-variance preferences & access to the risk free asset and has contracted an optimal portfolio with a standard deviation of 605. The weight of Apple in Vienna's portfolio is 16%. What is the weight of Apple in the tangency portfolio ?

a) 4%

b) (16/3)%

c) 12%

d) 2%

e) 8%

f) 16%

g) 32%

h) Not enough information to solve the problem

i) Greater than 32%

j) None of the above (but there is enough info to solve the problem)