Question: What would be the capital allocation between the risk free asset and the optimal risky investment portfolio for an individual with risk aversion coefficient of

What would be the capital allocation between the risk free asset and the optimal risky investment portfolio for an individual with risk aversion coefficient of 3 ? If the initial investment is $100,000, how much money should the investor allocate to each of the 5 assets (risk free asset and 4 risky assets). RF RATE 2% YEARLY

Expected Avarage Return optimal investment portfolio in the risky global minimum variance portfolio.
Weight Weight
PG 0.010848 PG 0.2053 PG 0.336
Microsoft 0.014854 Microsoft 0.223 Microsoft 0.0065
BAC 0.011589 BAC 0.5203 BAC 0.632
Exxon 0.012043 Exxon 0.0514 Exxon 0.0255
1.000000 1.000000
Variance
E[r] 0.01218804 E[r] 0.011372468
PG 0.004478 Portfolio Variance 0.003034717 Portfolio Variance 0.003082286
Microsoft 0.012820 Std Dev 0.055088262 Std Dev 0.055518341
BAC 0.005611 Sharp 0.190991196 Sharp 0.174821525
Exxon 0.002820
Covariance
Cov(PG, Microsoft) -0.000649
Cov(PG, BAC) 0.000683
Cov(PG, Exxon) 0.000433
Cov(Microsoft, BAC) 0.001681
Cov(Microsoft, Exxon) 0.000804
Cov(BAC, Exxon) 0.000757

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