Question: 1. Use the following table to answer the question below. Expected ret. std. dev. S&P500 13% 25% ABC Fund 17% 28% T-bill 4% Borrow 9%

Use the following table to answer the question below.

	Expected ret.	std. dev.
S&P500	13%	25%
ABC Fund	17%	28%
T-bill	4%
Borrow	9%

What is the highest fee that a client who is currently borrowing would be willing to pay to invest in your fund instead of S&P500?

Suppose that you have found the optimal risky combination using all risky assets available in the economy, and that this optimal risky portfolio has an expected return of 0.2 and standard deviation of 0.3. The T-bill rate is 0.05.

If your risk-return preferences are best described by the utility function in this class, with a risk-aversion coefficient of 4.7. What is the expected return on your optimal complete portfolio?

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