Problem 6-20 Refer the table below on the average risk premium of the S&P 500 over T-bills and the standard deviation of that risk premium Suppose that the S&P 500 is your risky portfolio Sharpe Period 1926-2015 1992-2015 1970-1991 1948-1969 1926-1947 Average Annual Returns S&P 500 1-Month Portfolio T-Bills T 11.77 3.47 110.79 2.66 12.87 14.14 2.70 9.25 8.91 Risk Premium 8.30 8.13 5.33 11.44 S&P 500 Portfolio Standard Deviation 20.59 18.29 18.20 17.67 27.99 0.40 0.44 0.29 0.3e o. If your risk-aversion coefficient is A = 3.6 and you believe that the entire 1926-2015 period is representative of future expecte performance, what fraction of your portfolio should be allocated to T-bills and what fraction to equity? Assume your utility functio ED) - 0.5 * Ao? (Do not round intermediate calculations. Round your answers to 2 decimal places.) T-bills Equity ndows b. If your risk-aversion coefficient is A 36 and you believe that the entire 1970-1991 period is representative of future expected performance, what fraction of your portfolio should be allocated to T-bills and what fraction to equity? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Equity Windows by