a) Determine the weights of a portfolio with a standard deviation of 7% created by combining T-Bill and the market portfolio. b) Determine which of A or B is over-valued or undervalued. c) How will you invest $1000 in riskless T-bills and the risky assets in the Market Portfolio to maintain a standard deviation of 10%.

Question 1 The following expected return and the standard deviation of current returns are known: Security (i) A B T-Bills Market Portfolio Expected Return Standard Deviation 0.20 0.12 0.12 0.10 0.05 0 0.20 0.15 Bi 1.1 0.8 0 1 a) Determine the weights of a portfolio with a standard deviation of 7% created by combining T-Bill and the market portfolio. b) Determine which of A or B is over-valued or undervalued. c) How will you invest $1000 in riskless T-bills and the risky assets in the Market Portfolio to maintain a standard deviation of 10%