Assume an investor evaluates assets using a mean-variance function, u(X) =X 2X, and a budget of $1 to allocate between stocks A, B with mean,...

1. Assume an investor evaluates assets using a mean-variance function,

u(X) =μX − σ2X, and a budget of $1 to allocate between stocks A, B with

mean, standard deviation: (i) μA = 2, σA = 1, (ii) μB = 4, σB = 4.

Also assume the stocks are perfectly negatively correlated. Assume both A, B cost $1 per share and that shares are infinitely divisible. Compute the optimal portfolio choice.

Please show all work, formulas, calculations with an explanation. Thank you!