QUESTION 20 You are a risk averse mean-variance investor facing a portfolio choice problem. Suppose that the riskless rate is 1%. You are facing the choice of combining a risky asset and the riskless asset to achieve your optimal asset allocation as a risk-averse investor. There is only one risky asset available which has an expected return of 12% and return volatility of 24%. Your risk aversion level is 6. You can invest 0%, 25%, 50%, or 75% of your portfolio in the risky asset (1.e. no other portfolio weights are possible). Which portfolio weight would you choose for the risky asset? O A. 75% OB. 50% OC.25% O 0.0%