Question: Investors maximize the utility function U=E(r)A2, where E(r) is the expected return on an asset, A is the risk aversion coefficient, and is the standard

Investors maximize the utility function U=E(r)A2, where E(r) is the expected

Investors maximize the utility function U=E(r)A2, 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 A and B are 10% and 18%, respectively. The standard deviations of assets A and B are 31% and 43%, respectively. The risk-free rate in this economy is 3%. If the correlation between A and B is 0.5, answer the following four questions for an investor with a risk aversion coefficient of 3. What would be the weight of the risk-free asset in an optimal portfolio that includes the risk-free asset, asset A, and asset B? Note: Answer in percentages with two decimals. Do not use the percentage sign in the answer box

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