Question #$6$: Optimal Risky Pertfolio

Obi is trying to construct a risky portfolio that has two assets: a fund that tracks real estate $($Asset A$)$ and a fund that tracks the NASDAQ $($Asset B$).$ The expected returns and standaed deviations of the two assets are given in the table below:

$\backslash$table$[[$Risky Asset,Expected Return,Stundard Deviation$],[$Asset A$,0\mathrm{.}20,0\mathrm{.}30],[$Asset B$,0\mathrm{.}12,0\mathrm{.}15]]$

Assume that the correlation coefficient between the returns of A and B is $0\mathrm{.}10$ and the risk$-$free rate of retirn is $8\%.$

Using the valoes in the table above find Obi's optimal risky portfolio. In other words, what fraction of the portfolio of risky assets will be held in real estate $($Asset A$)$ and what fraction of the portfolio of riaky assets will be held in the NASDAQ $($Asset B$).$