An analyst has identified a portfolio that they consider optimal (i.e., tangency portfolio), made up of two diversified managed funds. Summary statistics for the two diversified managed funds are as follows:

Fund X has an expected return of 0.13 per annum and a standard deviation of 0.3.

Fund Y has an expected return of 0.07 per annum and a standard deviation of 0.2.

The correlation coefficient between the two funds returns is 0.10 and the risk-free rate of return available in the market is 5% per annum.

The analyst stated that it is optimal to invest 0.56 in Fund X and 0.44 in Fund Y.

Answer the following questions 1(a) to 1(d). Note: For all the calculation questions, you are only allowed to write the numerical answer you calculated for the question, please DO NOT add $, %, dollars, million, thousand, percent, space, etc. in your answers.

1(a): What is the expected return of the optimal portfolio identified by the analyst?

1(b): What is the standard deviation of the optimal portfolio identified by the analyst? Round your final answer to 4 decimal places if needed.

1(c): Assume that an investor wants to invest 20% in the risk-free asset. The remaining 80% is invested in the optimal portfolio. What is the investors new portfolios standard deviation? Round your final answer to 4 decimal places if needed.

1(d): A less risk-averse investor wants to form a portfolio that has a greater expected return than the optimal portfolios return. Should the investor hold less or more of the optimal portfolio and how? Briefly explain your strategy.