is not allowed. It is known that E(rA)=10% A=22%, E(rF)=10%. How would a risk-neutral investor split her money between safe and risky assets? (2 marks)

Assume that an economy has one risky asset A and one risk-free asset F, and shorting the risk-free asset

1. 100% to asset A, 0% to asset F

2. 85% to asset A, 15% to asset F

3. 63% to asset A, 27% to asset F

4. 41% to asset A, 59% to asset F

5. Percentages cant be determined