1) There are only three investments available: 

1) Stock Fund A, Expected Return = 20%, Standard Deviation = 30%; 

2) Stock Fund B, Expected Return = 30%, Standard Deviation = 60%; 

3) T-bills, Expected Return = 5%.  Note that the correlation coefficient between funds A and B is .1.

A) Find the optimal risky portfolio and its expected return and standard deviation.

B) Find the slope of the CAL supported by T-bills and the optimal portfolio.

C) What percentage of their assets will an investor with A=5 invest in Funds A and B? What percentage will they invest in T-bills?

D) What percentage of their TOTAL ASSETS will the investor in part C have invested in Fund A?