An investor with risk aversion parameter A = 4 is considering two risky funds, denoted as fund A and fund B. The information of these two funds is given as follows: Expected Return Standard Deviation Fund A 10% 15% Fund B 18% 20% The risk-free rate on T-bills is 7%. Suppose that the covariance of two funds is Cou(TA,TB) = 60. (a) To construct the minimum-variance portfolio P of two risky funds, compute the op- timal proportion to each fund denoting as w and we, respectively. (b) Using the optimal proportions calculated in part (a), compute the expected rate of return and standard deviation of the minimum-variance portfolio P. Also, what would be the Sharpe ratio of this portfolio P? (c) Given utility function U = E[v] - Ao?, the investor now plans to mix the T-bills with his risky portfolio P, what is the proportion to the risky portfolio P, and what is the proportion to the T-bills? Compute the expected return and standard deviation of the overall portfolio C. An investor with risk aversion parameter A = 4 is considering two risky funds, denoted as fund A and fund B. The information of these two funds is given as follows: Expected Return Standard Deviation Fund A 10% 15% Fund B 18% 20% The risk-free rate on T-bills is 7%. Suppose that the covariance of two funds is Cou(TA,TB) = 60. (a) To construct the minimum-variance portfolio P of two risky funds, compute the op- timal proportion to each fund denoting as w and we, respectively. (b) Using the optimal proportions calculated in part (a), compute the expected rate of return and standard deviation of the minimum-variance portfolio P. Also, what would be the Sharpe ratio of this portfolio P? (c) Given utility function U = E[v] - Ao?, the investor now plans to mix the T-bills with his risky portfolio P, what is the proportion to the risky portfolio P, and what is the proportion to the T-bills? Compute the expected return and standard deviation of the overall portfolio C