breta has risk aversion of $A=4$ when applied to return on wealth over a one$-$year horizon. She is pondering two portfolios, the

SX$/$S&P Composite Index and a hedge fund, as well as a number of one$-$year strategies. $($All rates are annual and continuous

ompounded.$)$

he TSX$/$S&P Composite Index risk premium is estimated at $9\%$ per year, with a standard deviation of $18\%.$ The hedge fund ris

remium is estimated at $5\%$ with a standard deviation of $25\%.$ The returns on both of these portfolios in any particular year are

ncorrelated with its own returns in other years. They are also uncorrelated with the returns of the other portfolio in other year

edge fund claims the correlation coefficient between the annual return on the TSX$/$S&P Composite Index and the hedge fund

the same year is zero, but Greta is not fully convinced by this claim.

What should be Greta's capital allocation? Assume that the correlation between the annual returns on the two portfolios is ind

Do not round intermediate calculations. Enter your answers rounded to $2$ decimal places.$)$