2. Suppose the expected return on the market portfolio is 27% per year, and the standard deviation of returns on the market is 18% per year. The risk free rate is 3% per year. An investor with $90 million wants to allocate her wealth between the risk free asset and the market portfolio in such a manner that the expected value of her portfolio next year is at least $108.9 million. [3 puiate tach for a total of 12 points? (i). Show how you will allocate her wealth. (ii). Work out the standard deviation of the return on this portfolio. (iii). Also work out the expected return on her portfolio and the standard deviation of the value of her portfolio at t=1. (iv). What is the range of values between which her wealth will lie with a probability of 95%