1. Suppose that a fund that tracks the S&P has a mean E(R_M) = 10% and standard deviation σ_M = 11%, and suppose that the T-bill rate R_f = 5%. Answer the following questions about efficient portfolios:
   1. What is the expected return and standard deviation of a portfolio that is exclusively invested in the risk-free asset? 
   2. What is the expected return and standard deviation of a portfolio that has 50% of its wealth in the risk-free asset and 50% of its wealth invested in the S&P?

Answer rating: 100% (QA)

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