Question: You are given two risky assets. The first is a stock fund and the second is a bond fund. A T-bill fund yields a rate

You are given two risky assets. The first is a stock fund and the second is a bond fund. A T-bill fund yields a rate of 3%. The T-bill fund is a risk-free asset. The stock fund has an expected return of 12% and a standard deviation of 23%. The bond fund has an expected return of 7% and a standard deviation of 5%. The correlation between the risky fund returns is 2%. What is the proportion of stock in the optimal risky portfolio? What is the expected return and standard devation of the optimal risky portfolio?

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