A mean-variance investor with a risk aversion of 10 is making a portfolio choice decision between the stock market portfolio and a riskless asset. The riskless rate of 2% can be used for both borrowing and lending. The investor regresses one-year market returns on the previous year's default spread (in basis points) and obtains an intercept of 0.017 and a slope of 0.002. Currently, the default spread is 75. The investor uses the regression to obtain an estimate of the expected market return and uses VIX as the volatility measure which is currently at 19%. What fraction of the portfolio does the investor in the riskless asset under optimal portfolio choice? A. 65.7% B. 59.3% C. 80.5% O D. 40.7% A mean-variance investor with a risk aversion of 10 is making a portfolio choice decision between the stock market portfolio and a riskless asset. The riskless rate of 2% can be used for both borrowing and lending. The investor regresses one-year market returns on the previous year's default spread (in basis points) and obtains an intercept of 0.017 and a slope of 0.002. Currently, the default spread is 75. The investor uses the regression to obtain an estimate of the expected market return and uses VIX as the volatility measure which is currently at 19%. What fraction of the portfolio does the investor in the riskless asset under optimal portfolio choice? A. 65.7% B. 59.3% C. 80.5% O D. 40.7%