Frank has $100 at the start of the year. The optimal risky portfolio returns 12% per year with a standard deviation of 15%. The risk-free rate is 5% per year. What would be the weights in a portfolio comprising of the risky and risk-free asset such that the desired expected return is 15%?

b) Suppose there exist an equity fund with an expected risk premium of 10% and standard deviation of 14%. The rate on Treasury bills is 6%. Lynda chooses to invest $60,000 of her portfolio in equity fund and $40,000 in a Treasury-bill money market fund. What is Lyndas portfolios expected return and standard deviation? What is the Sharpe ratio of the equity fund?