2. There are two risky assets (A and B) and a risk-free asset in the market. For as Sky assets (A and B) and a risk-free asset in the market. For asset A, its mean is 15% and its standard deviation is 50%. For asset B its mean is 10% and its standarda correlation coefficient between A and B is 73.33%. The risk-free rate is B, its mean is 10% and its standard deviation is 20%. The investor is given as U = E(r) - 1/2 A02 (15) 73.33%. The risk-free rate is 4% The utility function of an YA a. Find the optimal risky portfolio and calculate its mean and standard deviation. (>) b. Plot A, B, and the optimal risky portfolio on A, B, and the optimal risky portfolio on a mean-standard deviation graph. Connect these portfolios to draw the investment opportunity set Also plot the optimal CAL (capital allocation line). (S) c. Suppose the investor has a risk aversion of A = 1.0. How would she allocate wealth between the risk- free asset and the optimal risky portfolio vou found in (a)? What is the composition of the complete portfolio, that is, the allocation to A, B and the risk-free asset? (5) 2. There are two risky assets (A and B) and a risk-free asset in the market. For as Sky assets (A and B) and a risk-free asset in the market. For asset A, its mean is 15% and its standard deviation is 50%. For asset B its mean is 10% and its standarda correlation coefficient between A and B is 73.33%. The risk-free rate is B, its mean is 10% and its standard deviation is 20%. The investor is given as U = E(r) - 1/2 A02 (15) 73.33%. The risk-free rate is 4% The utility function of an YA a. Find the optimal risky portfolio and calculate its mean and standard deviation. (>) b. Plot A, B, and the optimal risky portfolio on A, B, and the optimal risky portfolio on a mean-standard deviation graph. Connect these portfolios to draw the investment opportunity set Also plot the optimal CAL (capital allocation line). (S) c. Suppose the investor has a risk aversion of A = 1.0. How would she allocate wealth between the risk- free asset and the optimal risky portfolio vou found in (a)? What is the composition of the complete portfolio, that is, the allocation to A, B and the risk-free asset