Use the below portfolio. Assume that your degree of risk aversion increase from 6 to 8. Then, in the risky portfolio which has the highest sharp ratio (the tangency portfolio), the weight of asset A will ?

a) increase

b) The weight of asset a and b will stay the same

c) The weight of asset A will change. However, there is not enough information to decide whether the weight will increase or decrease.

d) decrease

You need to form a portfolio using two risky assets Asset E(R) Sigma Asset A 12% 18% Asset B 17% 25% The correlation coefficient between Asset A and Asset B is 0.25 You need to form a portfolio using two risky assets Asset E(R) Sigma Asset A 12% 18% Asset B 17% 25% The correlation coefficient between Asset A and Asset B is 0.25