You need to form a portfolio using two risky assets.

The correlation coefficient between Asset A and Asset B is $0\mathrm{.}25$

If you plan to hold $35\%$ of Asset A and $65\%$ of Asset B in the portfolio,. Assume that risk$-$free rate is $5\%$ and your

degree of risk$-$aversion is $6.$ Now in addition to investing in these two risky assets, you can

also invest in the risk$-$free asset. What is the weight of each asset $($Asset A$,$ Asset B$,$ and the

risk$-$free asset$)$ in the optimal portfolio which gives you the highest utility?

Your utility function is $U_p=E(r_P)-\frac{1}{2}A**{}_p^2$

$0\mathrm{.}266$;$0\mathrm{.}272$;$0\mathrm{.}462$

$0\mathrm{.}228$;$0\mathrm{.}234$;$0\mathrm{.}538$

$0$;$1$;$0$

$1$;$0$;$0$

$0$;$0$;$1$