Consider two investors A and B. Investor A's risk aversion coefficient ?_A = 4.5, and B's risk aversion coefficient ?_B = 3.8. There is one risky asset, whose expected returnis 11 percent and standard deviation is 14 percent. Suppose the risk-free borrowing rate is 4 percent and the risk-free saving rate is 3 percent. The objective of the three investors is to maximize E(rc)?0.005?i(?_c)^2 , where E(rc) and (?_c)^2 are the expected return and the variance of an investor's portfolio and i = A, B.

(a) What is investor A's optimal portfolio weight in the risky asset?

(b) What is investor B's optimal portfolio weight in the risky asset?

Consider two investors A and B. Investor A's risk aversion coefcient AA : 4.5, and B's risk aversion coefcient AB = 3.3. There is one risky asset, whose expected returnis 11 percent and standard deviation is 14 percent. Suppose the risk-free borrowing rate is 4 percent and the risk-free saving rate is 3 percent. The objective of the three investors is to maximize E(rc) 0.005A4o3, where E(rc) and of are the expected return and the variance of an investor's portfolio and 1' = A, B. (a) What is investor A's optimal portfolio weight in the risky asset? (b) What is investor B's optimal portfolio weight in the risky asset