Consider three risky assets with the following expected returns and covariance matrix: =0.0850.0420.112=0.0350.00050.0010.00050.0240.0050.0010.0050.031 We assume that the risk-free rate is 1.1%. What is the optimal percentage weight of the second risky asset for a meanvariance investor with a risk aversion parameter of 10 ? 5.72% 8.51% 12.37% 21.41% Consider three risky assets with the following expected returns and covariance matrix: =0.0850.0420.112=0.0350.00050.0010.00050.0240.0050.0010.0050.031 We assume that the risk-free rate is 1.1%. What is the optimal percentage weight of the second risky asset for a meanvariance investor with a risk aversion parameter of 10 ? 5.72% 8.51% 12.37% 21.41%