SHOW WORK !!!

Assume you believe the CAPM is true almost all the time. There are three assets that the investors can buy or short sell: the market portfolio M, the risk-free asset F, and an individual stock A. Investors (including you) can mix M, F, and A to construct their own optimal portfolios C. The following table is what you believe now about three assets. The third row w is the weight of M, F, and A in your portfolio C. (You cannot invest in any other assets than M, F, and A) Today you do a research on the asset A and find out A is temporarily underpriced, and so its expected return should be higher. Then you update your optimal portfolio weight using such information. The following table is what you believe about three assets and your revised optimal portfolio weight after your research. Assume your price of risk is not necessarily the same as before. If Sharpe ratio of your optimal portfolio increases by 20% due to your research and the corresponding portfolio update, what is the optimal weight on A after your research? Express your answer as a decimal after you round it to the basis point. For example, type 0.0437. Assume you believe the CAPM is true almost all the time. There are three assets that the investors can buy or short sell: the market portfolio M, the risk-free asset F, and an individual stock A. Investors (including you) can mix M, F, and A to construct their own optimal portfolios C. The following table is what you believe now about three assets. The third row w is the weight of M, F, and A in your portfolio C. (You cannot invest in any other assets than M, F, and A) Today you do a research on the asset A and find out A is temporarily underpriced, and so its expected return should be higher. Then you update your optimal portfolio weight using such information. The following table is what you believe about three assets and your revised optimal portfolio weight after your research. Assume your price of risk is not necessarily the same as before. If Sharpe ratio of your optimal portfolio increases by 20% due to your research and the corresponding portfolio update, what is the optimal weight on A after your research? Express your answer as a decimal after you round it to the basis point. For example, type 0.0437