Question 7 1 pts You have the following variance covariance matrix and vector of returns: A B C D E F Returns 0.7 -0.1 0.05 0.2 0.09 -0.06 A 22% B -0.1 0.55 0.12 -0.19 -0.1 0.03 12% 11% C 0.05 0.12 0.39-0.09 0.03 0.01 0.2-0.19 -0.09 0.4 O O 0 0.6-0.12 D 17% E 0.09 -0.1 0.03 21% F-0.06 0.03 0.01 0-0.12 0.9 26% The risk-free rate is 2.2% Compute the tangent portfolio. What is the weight of A in such a portfolio (approximate to the nearest two decimals)

Question 7 1pts You have the following variance covariance matrix and vector of returns: The risk-free rate is 2.2% Compute the tangent portfolio. What is the weight of A in such a portfolio (approximate to the nearest two decimals)