Greta has risk aversion of A=5 when applied to return on weath over a oneyear horizon She is pondering two portfolios, the S\&P 500 and a hedge fund, as well as a number of 1-year strategies. (All rates are annual and continuously compounded.) The S\&P 500 risk premlum is estimated at 9% per year, with a standard deviation of 1/%. The hedge fund risk premium is estimated af 11% with a standard deviation of 32%. The returns on both of these portfolios in any particular year are uncorrelated with its own refurns in other years. They are also uncorrelated with the returns of the other portfolio in other years. The hedge fund claims the correlation. coetficient between the annual retum on the S\&P 500 and the hedge fund retum in the same year is zero, but Greta is not fuliy. convinced by this claim. a-1. Assuming the correlation between the annual returns on the two portfolios is indeed zero, what would be the optimal asset allocation? (Do not round intermediate colculations. Enter your answers as decimals rounded to 4 places.) 0-2. What is the expected risk premium on the portfolio? (Do not round intermediote calculations, Enter your answer as decimals rounded to 4 ploces.)