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2. Suppose that there are two risky assets, C and D, the tangency portfo- lio is 60%C and 40%D, and the expected return and standard

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2. Suppose that there are two risky assets, C and D, the tangency portfo- lio is 60%C and 40%D, and the expected return and standard deviation of the return on the tangency portfolio are 5% and 7% respectively. Suppose also that the risk-free rate is 2%. If you want the standard de- vation of your return to be 5%, what proportion of your capital should be in the risk-free asset, asset C, and asset D

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