SECTION II these questions are worth double in weight. *41. (Double weight question) Suppose investors form portfolios by combing one risky security with one risk free security. The securities returns are: Risk free = 0.03 risky = 0.15 and SD = 0.25 Let wl denote the share of wealth in the risky asset. Determine the optimal portfolio for an investor with the following utility function. I I (This is of the form E(u) = [expected return on the portfolio]-1/2A?) III E[u] = rp -502 Let wl be the risky asset. Answers are rounded a) wlis 34% and the risk free 66% I b) wl is 19% and the risk free 81% IIIII c) wl is 24% and the risk free 76% d) wl is 37% and the risk free 63%