Your investment options are limited to (1) a global index fund with expected return of 9% and standard deviation of 15% and (2) either borrowing cash from your broker or lending cash to your broker. You can lend cash to your broker at a rate of 4% and borrow cash from your broker at a rate of 5%. If your utility function is U=E[r]-.5A^2 , with risk aversion coefficient A = 2, what is your utility-maximizing allocation to the global index fund?

a. 88.89% b. 100.00% c. 111.11% d. cannot be determined