Question 48 (1 point) Given the risk and return of two risky assets, the risk-free rate, the correlation coefficient between the two risk assets, as well as the optimal portfolio weight of one of the risky assets given below, calculate: the weights you have to invest in the risky asset A and the weight you have to invest in risky asset B of a portfolio that invest 50% in the risk-free rate Rf and 50% in the optimal risky portfolio: Input Data ER) 00 02 Correlation coefficient DUR 0.30 E(R) 4 E(R) 20 6 2 Assume the optimal Risky Portfolio (O) has the following weights W3.80 WA Assume the Optimal Risky Portfolio (O) has the following weights Wg=.80 WA= wa 10 wg=.40 O WA=.25 wg=.25 WA=.16 wp=.64 None of the answers is correct O WA04 WB-16