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)0.005ic2, where E(rc) and c2 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?