Question: The table below contains expected annual returns for funds A and B. Assuming that the risk free rate is 2.41% and that the correlation of

The table below contains expected annual returns for funds A and B. Assuming that the risk free rate is 2.41% and that the correlation of returns between funds A and B is 0.21

Expected Ret. - E(r) Fund A is 10.9% Fund B is 9.7%

Standard Deviation - σ Fund A is 15.6% and Fund B is 12.6%

Calculate the weight of Fund A in the Optimal two-risky asset portfolio comprised of funds A and B.

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