Consider portfolios with positions in the US and Brazilian equity markets. The (annual) expected return and standard deviation of returns for the 2 markets are as follows: US Brazil E[r] 5% 10% SD[r] 15% 25% The correlation between the returns is 0.3, and the (annual) risk-free (T-bill) rate is 1%.

Find the weights (T-bill, US, Brazil) for a portfolio with the same expected return as Brazil (10%), using only a combination of 50% in the risk-free asset, 50% in a portfolio that itself is invested 40% in the US and 60% in Brazil.? What is the standard deviation of this portfolio?