Question: Problem 1 [6pts] The T-Bill's return is 2%. The Index A and Index B have the expected returns of 10% and 15% and the standard

Problem 1 [6pts] The T-Bill's return is 2%. The Index A

Problem 1 [6pts] The T-Bill's return is 2%. The Index A and Index B have the expected returns of 10% and 15% and the standard deviation of 30% and 20%. The correlation between returns of Index A and B is 0.4. Which of the following portfolios would you select if you were risk averse with =3 ? The utility function is U(,)=212

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