2. You are consulting for a large pension fund. This pension funds wants to limit its risk to no more than 15% by investing in the Maximum Sharpe Ratio Portfolio you found in Q1 and the risk-free 30 day US Treasury Bill paying 3%. They want to know what % of their assets should they allocate to the Sharpe Ratio Portfolio and what % of their assets should they allocate to the T-bill to maximize return but limit risk to 15%. What are these two percentages and what is the expected rate of return for that asset allocation?

The Sharpe ratio from Q1 is 2.09