A pharmaceutical industry portfolio is constructed using Johnson \& Johnson (NYSE:JNJ) and Pfizer (NYSE:PFE) with weights of 0.6 and 0.4. Expected returns are 15% and 25%, respectively. An investor with a risk aversion coefficient of 5 invests all her wealth in a combination of the pharma portfolio and the risk-free asset. The riskfree rate of return is 3%. Given the following covariance matrix, what is the weight of the risk-free asset in her portfolio? 31.25% 62.50% 37.50% 68.75% A pharmaceutical industry portfolio is constructed using Johnson \& Johnson (NYSE:JNJ) and Pfizer (NYSE:PFE) with weights of 0.6 and 0.4. Expected returns are 15% and 25%, respectively. An investor with a risk aversion coefficient of 5 invests all her wealth in a combination of the pharma portfolio and the risk-free asset. The riskfree rate of return is 3%. Given the following covariance matrix, what is the weight of the risk-free asset in her portfolio? 31.25% 62.50% 37.50% 68.75%