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22 Suppose an investor only has access to two risky assets. Asset 1 has an...

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22 Suppose an investor only has access to two risky assets. Asset 1 has an expected return of 8% and a standard deviation of 12%, and Asset 2 has an expected return of 13% and a standard deviation of 20%, and the correlation coefficient between the two assets is - 1 Consider utility function as U E() 10% and let us assume that your coefficient of risk aversion is 5. Solve for the optimal weights for both assets in the risky portfolio (You need to show me the derivation of your work, simply guessing the formula right by referring the logic of deriving the formula of w we use in the lecture notes is not acceptable here.)

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