11. Suppose you are a rational utility-optimizing investor with preferences described by the quadratic utility function discussed in class. You have a risk aversion coefficient of 4 and you can divide your capital between the risk-free rate and the following two risky assets: Asset Expected Return Standard Deviation 15% 10% 25% 15% The correlation between assets A and B is 0.5. If the risk-free rate is 3%, what percent of your total capital should you allocate to the risk-free rate? Ans. 16.7%