Suppose you are given the following data.
Asset Expected Return Standard Deviation
A 7% 30%
B 5% 20%
Risk-free 1%
Assets A and B are the only risky assets in the economy. The correlation between assets A and B is 0.25. Suppose that there is a portfolio P (consisting of Assets A and B) which has an expected return of 5.8%. What is the weight of Asset A in the portfolio P?
a. 18.97%
b. 27.61%
c. 12.32%
d. 14.65%
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