Greta, an elderly investor, has a degree of risk aversion of A = 2 when applied to return on wealth over a three-year horizon. She is pondering two portfolios the S&P 500 and a hedge fund, as well as a number of three-year strategies. (All rates are annual, continuously compounded.) The S&P 500 risk premium is estimated at 5% per year, with a SD of 20%. The hedge fund risk premium is estimated at 10% with a SD of 35%. The return on any of these portfolios in one year is uncorrelated with the return on any portfolios in any other year. The hedge fund management claims the correlation coefficient between the annual returns on the S&P 500 and the hedge fund is zero, but Greta believes this is far from certain. Assuming the correlation between the annual returns is indeed zero, what would be the optimal asset allocation (Round your answer to 2 decimal places. Omit the "%" sign from your response)? What should be Greta's capital allocation (Omit the "%" sign from your response)? Greta, an elderly investor, has a degree of risk aversion of A = 2 when applied to return on wealth over a three-year horizon. She is pondering two portfolios the S&P 500 and a hedge fund, as well as a number of three-year strategies. (All rates are annual, continuously compounded.) The S&P 500 risk premium is estimated at 5% per year, with a SD of 20%. The hedge fund risk premium is estimated at 10% with a SD of 35%. The return on any of these portfolios in one year is uncorrelated with the return on any portfolios in any other year. The hedge fund management claims the correlation coefficient between the annual returns on the S&P 500 and the hedge fund is zero, but Greta believes this is far from certain. Assuming the correlation between the annual returns is indeed zero, what would be the optimal asset allocation (Round your answer to 2 decimal places. Omit the "%" sign from your response)? What should be Greta's capital allocation (Omit the "%" sign from your response)