Percival Hygiene has $10 million invested in long-term corporate bonds. This bond portfolio's expected annual rate of return is 13%, and the annual standard deviation is 13%. Amanda Reckonwith, Percival's financial adviser, recommends that Percival consider investing in an index fund that closely tracks the Standard \& Poor's 500 index. The index has an expected return of 18%, and its standard deviation is 18%. a. Suppose Percival puts all his money in a combination of the index fund and Treasury bills. Can he thereby improve his expected rate of return without changing the risk of his portfolio? The Treasury bill yield is 6%. b. Could Percival do even better by investing equal amounts in the corporate bond portfolio and the index fund? The correlation between the bond portfolio and the index fund is +0.2