2. Portfolio Allocation with Mean-Variance Utility Consider an investor with preferences over the mean and variance of the returns on his or her portfolio that are described by the utility function U(4-12, ) = Hp (4) o, where a higher value of A corresponds to a larger aversion to risk. Suppose that this investor is able to form a portfolio from a risk-free asset with return ry and a risky asset with expected tangency portfolio that represents the optimal combination of many individual risky assets. Either way, our analysis from class showed that the relationship between ulp and op for the portfolio that combines the risk-free asset with the risky asset is linear: Hp=ry+ fp - Tf or op. . By substituting this constraint into the investor's utility function, his or her problem can be solved as one of choosing op to maximize 7+ ,+("").-(4) 05. Use the first-order condition for this problem to solve for the optimal choice of op. 2. Portfolio Allocation with Mean-Variance Utility Consider an investor with preferences over the mean and variance of the returns on his or her portfolio that are described by the utility function U(4-12, ) = Hp (4) o, where a higher value of A corresponds to a larger aversion to risk. Suppose that this investor is able to form a portfolio from a risk-free asset with return ry and a risky asset with expected tangency portfolio that represents the optimal combination of many individual risky assets. Either way, our analysis from class showed that the relationship between ulp and op for the portfolio that combines the risk-free asset with the risky asset is linear: Hp=ry+ fp - Tf or op. . By substituting this constraint into the investor's utility function, his or her problem can be solved as one of choosing op to maximize 7+ ,+("").-(4) 05. Use the first-order condition for this problem to solve for the optimal choice of op