11. Consider a Treasury bill with a rate of retum of 2.5% and the following risky securities: Security A: E(r) = .14; variance = .0400 Security B: E() = 13; variance = .0225 Security C: E(r) = 12; variance = .1000 Security D: E() = 11; variance = .0625 The investor must develop a complete portfolio by combining the risk-free asset with one of the securities mentioned above. The security the investor should choose as part of her complete portfolio to achieve the best CAL would be while security should be avoided. 12. An investor invests 65% of her wealth in a risky asset with an expected rate of return of 9.53% and a variance of 3.72%, and she puts 30% in a Treasury bill that pays 2.47%. Her complete portfolio's expected rate of return and standard deviation are and respectively 13. Consider the following two investment alternatives: First, a risky portfolio that pays a 18% rate of return with a probability of 22% or a 7.2% rate of return with a probability of 40%. Second, a Treasury bill that pays 3.4%. If you invest $100,000 in the risky portfolio, your expected profit after one year would be 14. You are considering investing $10,000 in a complete portfolio. The complete portfolio is composed of Treasury bills that pay 3.75% and a risky portfolio, P. constructed with two risky securities, X and Y. The optimal weights of X and Y in P are 32.7% and 67.3%, respectively. X has an expected rate of return of 8.5%, and Y has an expected rate of return of 13.8%. The dollar values of your positions in X, Y, and Treasury bills would be and respectively, if you decide to hold a complete portfolio that has an expected return of 10.11%