In a very small market, there are the two risk-bearing assets A and B as well as a risk-free investment alternative. Asset A has an expected return of 13.82% and a standard deviation of 19.86% and asset B has an expected return of 8.19% and a standard deviation of 10.39%. The risk-free asset has a return of 1.22% and assets A and B have a correlation of 0.31. Calculate the weights of the market portfolio and indicate how the portfolio is weighted by choosing one of the options below.

a) 32% in asset A and 68% in asset B.

b) 37% in asset A and 63% in asset B.

c) 42% in asset A and 58% in asset B.

d) 47% in asset A and 53% in asset B.

e) 52 % i tillgng A och 48 % i tillgng B.