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 U00) = -fach The weights of Portfolio T-Bill Index A Index B 1 10% 60% 0 0 20% 2 80%