12. There are one risky portfolio P and one riskless asset F. The expected return of P is E[rp.t+1] = 9%. The variance of P is on = 0.025. The riskfree rate is rp = 2%. Your price of risk A is 2. If you construct your optimal portfolio C using P and F, how much would you invest in P when you have $3mil? 1) $0.8mil 2) $1.4mil 3) $2.5mil 4) $3.0mil 5) $4.2mil