Problem 1 [6pts) The T-Bill's return is 2%. The Index A and Index B have the expected returns of 20% and 25% and the standard deviation of 30% and 40%. The correlation between returns of Index A and B is 0.5. Which of the following portfolios would you select if you were risk averse with a= 3? The utility function is U(u,0) = # - . The weights of Portfolio T-Bill Index A Index B 60% 1 2 40% 80% 0 20% 0