You are considering adding a small-cap value fund (SV) to your portfolio, which currently consists only of a mutual fund that tracks the S&P500. You run the following regression (monthly data):

r S V , t r f , t = S V + S V ( r S P 500 , t r f , t ) + S V , t .

You estimate = 0.5 %, S V = 0.89, ( r S V ) = 5 %, ( S V ) = 4.4 %, E ( r S P 500 r f ) = 0.6 %, and ( r S P 500 ) = 4.2 %. If your goal is to maximize the Sharpe ratio of your whole portfolio, which of the following is closest to the weight you should put in fund BF (with the rest in the SP500 fund)?

Group of answer choices

1.00

0.25

0.50

0.00

0.75