Question 12. Consider the single index model. There are two risky assets available, stock A and stock B, as well as a risk-free asset. Stock A has a A = 0.06, BA = 0, and ole:) = 0.30. Stock B has aB = 0.04, BB = 1, and ole) = 0.05. The market (which you can't invest in directly) has expected return E[mm] = 0.07 and standard deviation o = 0.25. The risk-free rate is rj = 0.02. You are a mean-variance optimizer with coefficient of risk aversion A=2. Recall the following equation from modern portfolio theory: (E[v] - r;1) Find the optimal allocation of wealth. Question 12. Consider the single index model. There are two risky assets available, stock A and stock B, as well as a risk-free asset. Stock A has a A = 0.06, BA = 0, and ole:) = 0.30. Stock B has aB = 0.04, BB = 1, and ole) = 0.05. The market (which you can't invest in directly) has expected return E[mm] = 0.07 and standard deviation o = 0.25. The risk-free rate is rj = 0.02. You are a mean-variance optimizer with coefficient of risk aversion A=2. Recall the following equation from modern portfolio theory: (E[v] - r;1) Find the optimal allocation of wealth