(Ref. Unit 5 Exercise 1) You are constructing a risky portfolio consisting of two assets: S and B. The expected return and standard deviation of Asset S are 30% and 40%, respectively. The expected return and standard deviation of Asset B are 9% and 21%, respectively. The correlation between the two assets is 0.2. The risk-free rate is 2%. What is the expected return on the optimal risky portfolio of the two assets?

Hint: You need to first find the optimal risky portfolio, i.e., the optimal weight of S (= wS*) and the optimal weight of B (= wB*).

Note: Write your answer in decimal (3 or more decimal places). For example, write 0.2544 instead of 25.44%.