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Refer the table below on the average excess return of the U . S . equity market and the standard deviation of that excess return.

Refer the table below on the average excess return of the U.S. equity market and the standard deviation of that excess return. Suppose that the U.S. market is your risky portfolio.
Average Annual Returns U.S. Equity Market
Period U.S. equity 1-Month T-Bills Excess return Standard Deviation Sharpe Ratio
1927202112.173.308.8720.250.44
1927195010.260.939.3326.570.35
1951197410.213.596.6220.320.33
1975199817.976.9810.9914.400.76
1999202110.161.668.5018.850.45
Required:
a. If your risk-aversion coefficient is A =4 and you believe that the entire 19272021 period is representative of future expected performance, what fraction of your portfolio should be allocated to T-bills and what fraction to equity? Assume your utility function is U = E(r)0.5\times A\sigma 2squared. Note: Do not round intermediate calculations. Round your answers to 2 decimal places
T-bills %?
Equity %?
b, What if you believe that the 19751998 period is representative? Note: Do not round intermediate calculations. If T-bills are borrowed, enter that value as a negative number. Round your answers to 2 decimal places
T bills %?
Equity %?

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