E(rc) = rf + y [E(rp) + rp]. sigma c^2 = E[rc middot E(rc)]^2 sigma c = y sigma P. U = E(rc) - 1/2 A sigma_2^2. Prove sigma c = y sigma_P max y, 1-y such that 1, 2 E(rc) = rf + y [E(rp) + rp]. sigma c^2 = E[rc middot E(rc)]^2 sigma c = y sigma P. U = E(rc) - 1/2 A sigma_2^2. Prove sigma c = y sigma_P max y, 1-y such that 1, 2