You currently own a portfolio comprised of U.S. equities (90%) and gold (10%). The U.S.equity allocation is invested passively in the S&P 500 Index. Your investment advisorrecommends you sell all of the gold position and replace it with a similar sized positioningbitcoin.You gather the following data:

S&P 500 GoldBitcoin

Historical Annual Return: 12%7% 50%

Historical Annualized Volatility:20% 15% 80%

Return Correlation of Gold to the S&P 500 Index: 15%

Return Correlation of Bitcoin to the S&P 500 Index: 30%

Risk Free Rate: 1%

(ii) Assuming all of the other assumptions remained unchanged, and ignoring any coefficientof risk aversion considerations, at what level of correlation between bitcoin and the S&P500 would you be indifferent between choosing to retain your current portfolio andsubstituting it for the new portfolio? (12 points)