Question $1$

$2$ pts

You are constructing a portfolio for an investor with a risk aversion of $A=2.$ You can invest their money in a riskless asset with a return of $0\mathrm{.}016,$ or a risky asset with an expected return of $0\mathrm{.}097$ and a standard deviation of $0\mathrm{.}96.$ What proportion of their assets should you put in the risky asset? An answer of $0$ means none of their assets, an answer of $1$ means all of their assets.