Question: I need help with the steps to work out this question. . 4. Assume that I? 07, 56!... ) .11: m! a; = .22. ,

I need help with the steps to work out this question.

. 4. Assume that I? 07, 56!... ) .11: m! a; = .22. , where m denotes the tangency (or market) portfolio. Suppose that an investor's preferences are given by M=E@9)'ZJ}': where p denotes the investor's portfolio choice, which combines proportion w of the market portfolio and proportion 1-w of the risk-free asset. A. Solve for the investor's optimal proportion of wealth to be held in the market portfolio. B. What is the expected return and risk of the investor's optimal portfolio

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