Suppose that you want to invest 100 in two securities whose rates of return have the following expected values and standard deviations: r1 = 0.15, r2 = 0.20, v1 = 0.20, v2 = 0.30. Moreover, the correlation between the rates of return is 0.2. Assume that the final wealth has a normal distribution.

(a) If your goal is to maximize the expected utility and your utility function is U(x) = 1 e 0.005x how much should you invest in each security?

(b) If you want to use the VAR criterion, what should be your optimal