Question: Investors maximize the utility function U= E(r) A ^2, where E(r) is the expected return on an asset, A is the risk aversion coefficient, and

Investors maximize the utility function U= E(r) A ^2, where E(r) is the expected return on an asset, A is the risk aversion coefficient, and is the standard deviation of an asset. The expected returns on assets X and Y are 12% and 17%, respectively. The standard deviations of assets X and Y are 33% and 41%, respectively. The risk-free rate in this economy is 1%. If the correlation between X and Y is 0.6, answer the following question for an investor with a risk aversion coefficient of 4. If an investor with A of 4 maximizes his/her utility only using the risky assets mentioned above, what would be the weight of asset X in that portfolio?

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