An investor wants to form a portfolio with an expected return of 11% per year by investing in a risky asset with an expected return of 16% per year and an expected standard deviation of 26% per year. If the risk-free interest rate is 2% per year, what percent of the portfolio should he invest in the risk-free asset?

An investor wants to form a portfolio with an expected return of 11% per year by investing in a risky asset with an expected return of 16% per year and an expected standard deviation of 26% per year. If the risk-free interest rate is 2% per year, what percent of the portfolio should he invest in the risk-free asset