Fund X has an expected return of 23% and a standard deviation of 33%. Fund Y has an expected return of 11% and a standard deviation of 14%. The correlation coefficient between the two funds is 0.45. T-bills yield 2%.

a) Assuming these are the only two risky securities available, find the Sharpe Ratio of the optimal risky portfolio.

Sharpe Ratio : ?

b) If an investor is seeking an expected return of 20% in the long run, how much should he or she be allocating to the optimal risky portfolio?

Weight of the risky portfolio : ?