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Expected Return Standard Deviation Portfolio A 12% 20% Portfolio B 6% 12% T-bill 3% 0% You are an investment adviser and you have the three
| Expected Return | Standard Deviation |
Portfolio A | 12% | 20% |
Portfolio B | 6% | 12% |
T-bill | 3% | 0% |
You are an investment adviser and you have the three investments above to recommend to your clients. The correlation between A and B is -0.5.
Solve for the optimal risky portfolio and enter the weights as a %, 99% should be entered as 99.00%.
Percent invested in Portfolio A
Percent invested in Portfolio B
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