Question: Please provide a clear solution and explanation (without using excel if possible) As a mean-variance optimizing investor, you refuse to include in your portfolio anything

Please provide a clear solution and explanation (without using excel if possible)

As a mean-variance optimizing investor, you refuse to include in your portfolio anything other than the riskless asset and the market portfolio. Suppose the risk-free rate is 2% and the market risk premium is 7%. The beta of your current portfolio is 0.8. You wish to change your portfolio such that its expected return is 12%. How much should you change the weight of the market portfolio, Wm, in your overall portfolio? State your solution as a decimal with two decimal places. (For example, you may conclude, I would reduce Wm by 0.12.)

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