Problem 6-20 Refer the table below on the average risk premium of the S&P 500 over T-bills and the standard deviation of that risk premium. Suppose that the S&P 500 is your risky portfolio. Period 1926 2015 1992-2015 1970-1991 1948-1959 1926-1947 Average Annual Returns S&P 500 1 Month Portfolio Tilla 11.77 3.47 10.79 2.66 12.87 7.54 14.14 2.70 56P 500 Portfolio Riak Standard Premium Deviation 8.30 20.59 8.13 18.29 5.33 18.20 11.44 17.67 27.99 Sharpe Ratio 0.40 0.44 0.29 0.65 0.30 a. If your risk-aversion coefficient is A-2.8 and you believe that the entire 1926-2015 period is representative of future expected performance, what fraction of your portfolio should be allocated to T-bills and what fraction to equity? Assume your utility function is U =E1-0.5 Ao. (Do not round Intermediate calculations. Round your answers to 2 decimal places.) T-bills Equity b. If your risk-aversion coefficient is A-2.8 and you believe that the entire 1970-1991 period is representative of future expected performance, what fraction of your portfolio should be allocated to T-bills and what fraction to equity? (Do not round Intermediate 1948-1969 1921947 17.67 27.99 0.65 0.30 a. If your risk-aversion coefficient is A = 2.8 and you believe that the entire 1926-2015 period is representative of future expected performance, what fraction of your portfolio should be allocated to T-bills and what fraction to equity? Assume your utility function is u -0.5 * Ao". (Do not round Intermediate calculations. Round your answers to 2 decimal places.) T-bills Equity b. If your risk-aversion coefficient is A-2.8 and you believe that the entire 1970-1991 period is representative of future expected performance, what fraction of your portfolio should be allocated to T-bills and what fraction to equity? (Do not round Intermediate calculations. Round your answers to 2 decimal places.) T-bills Equity