Greta has risk aversion of A = 3 when applied to return on wealth over a one-year horizon. She is pondering two portfoli

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Greta has risk aversion of A = 3 when applied to return on
wealth over a one-year horizon. She is pondering two portfolios,
the S&P 500 and a hedge fund, as well as a number of 1-year
strategies. (All rates are annual and continuously compounded.) The
S&P 500 risk premium is estimated at 8% per year, with a
standard deviation of 22%. The hedge fund risk premium is estimated
at 10% with a standard deviation of 37%. The returns on both of
these portfolios in any particular year are uncorrelated with its
own returns in other years. They are also uncorrelated with the
returns of the other portfolio in other years. The hedge fund
claims the correlation coefficient between the annual return on the
S&P 500 and the hedge fund return in the same year is zero, but
Greta is not fully convinced by this claim. a-1. Assuming the
correlation between the annual returns on the two portfolios is
indeed zero, what would be the optimal asset allocation? (Do not
round intermediate calculations. Enter your answers as decimals
rounded to 4 places.) a-2. What is the expected risk premium on the
portfolio? (Do not round intermediate calculations. Enter your
answer as decimals rounded to 4 places.)