There are two risky assets; their expected returns are 10% and 8%, and their volatilities are 20% and 10%. The correlation between the two assets is zero. The risk-free rate is 2%. Assume that you are considering investing $10,000 into the three assets (two risky and one risk-free), and you have decided that $4,000 should be invested into the risk-free asset (the remaining goes to the risky ones). If you are a mean-variance efficient investor, how much money will you invest in asset 1 (the one with a 10% expected return and a 20% volatility)?

answers:

$1500

$4800

$6000

$2400