Alia is a mean-variance investor with risk-aversion

A= 8. Suppose Alia can choose two stocks for her investment portfolio. The first stock has return with an expected value

of 10% and a standard deviation of 10%. The second stock has an expected return of

16% with a standard deviation of 20%. The returns on the two stocks are uncorrelated.

Construct the optimal portfolio of the two stocks for Alia i.e. what should be the wealth

shares of the two stocks in her portfolio?