You invest $2,000 in a risky asset with an expected rate of return of 0.13(and a standard deviation of 0.20) and a T-bill with a rate of return of 0.03.

Knowing thatthe coefficient of risk aversion equals5,to form a portfolio,what optimal percentages of your money must be invested in the risky asset and the risk-free asset, respectively?

85% and 15%

50% and 50%

75% and 25%

57% and 43%

Cannot be determined