Suppose the expected return and standard deviation of the optimal risky portfolio are 10% and 16%, respectively. The optimal risky portfolio contains 20% stock A, 30% stock B and 40% stock C and 10% stock D.

For investor Emily with risk aversion coefficient A = 5, the optimal weight in the risky portfolio can be calculated using the following formula. The risk-free rate is 1%.

What is the optimal weight of stock D in Emily's overall portfolio?

Question 11 options:

	1.1%
	0%
	3%
	7%