You live in an economy with the risk-free rate of 2% p.a. and the expected return on the market portfolio equal to 10% p.a. and volatility of 20% p.a. You are approached by a client whose target risk is 10% p.a. What is the weight of the market in the portfolio meeting that risk target?

Select one:

a. 75%

b. 25%

c. 50%

d. 33%