$.$ Assume that you create a portfolio by investing in the IBEX$35$ index, and Treasury

bills $($risk$-$free asset$).$ If you want a total volatility of your portfolio equal to $9\%,$

compute the weight of IBEX$35$ in the portfolio. The expected return on IBEX$35$ is

$2\mathrm{.}5\%,$ and its volatility is $13\%.$

a$.6\mathrm{.}9\%$

b$.$ More than $100\%$

c$.69\mathrm{.}2\%$

d$.$ None of the above