Consider two risky assets, A and B, with expected returns and standard deviations (A, A) = (6%, 10%) and (B , B ) = (8%, 20%). Their correlation coefficient is de- noted by . You are a mean-variance investor with risk aversion parameter = 1. 7

Suppose that you invest $1 between these assets to maximize your utility (no borrow- ing and saving; short position is prohibited; use the MV utility U = 2 2). (a) When = 1, what is the optimal investment (in dollar value) in asset A? (b) When = 0.2, what is the optimal investment (in dollar value) in asset A?

please give a clear explanation as I do not have prior derivative math knowledge,thanks.