1. Markowitz Portfolio Optimisation. [30 Marks]

Lisa is considering two risky funds, the S&P 500 index fund and a corporate bond fund, plus Treasury bills (T-Bills). The information of the funds and T-bills are as follows:

	Expected Return	Standard Deviation
S&P 500	16%	20%
Corporate Bond Fund	10%	15%
T-bills	6%	0

The correlation between the S&P 500 index fund and the corporate bond fund is 0.4.

1. If the investment weights in the optimal risky portfolio of the two risky funds are 81.57% in the S&P 500 fund and 18.43% in the corporate bond fund, calculate the expected return and standard deviation of the optimal risky portfolio.

   1. Markowitz Portfolio Optimisation. [30 Marks]

   Lisa is considering two risky funds, the S&P 500 index fund and a corporate bond fund, plus Treasury bills (T-Bills). The information of the funds and T-bills are as follows:

   	Expected Return	Standard Deviation
   S&P 500	16%	20%
   Corporate Bond Fund	10%	15%
   T-bills	6%	0

   The correlation between the S&P 500 index fund and the corporate bond fund is 0.4.

   If the investment weights in the optimal risky portfolio of the two risky funds are 81.57% in the S&P 500 fund and 18.43% in the corporate bond fund, calculate the expected return and standard deviation of the optimal risky portfolio.