Suppose that Jason manages a risky portfolio with an expected return of 15% and a standard deviation of 25%. The (risk-free) T-bill rate is 4%.

Connor, a friend of Jasons, decides to invest 70% of his wealth into Jasons fund and 30% into a T-bill money market fund.

Expected return (E[R_c]) is 11.7% and Standard deviation (_c) is17.5%

Suppose Jasons risky portfolio includes the following investments:

Stock Proportion of the portfolio

Apple 50%

Intel 20%

Coca-Cola 30%

What are the investment proportions of each stock and of T-bill in Connors overall portfolio?

A. 50%, 20%, 30%, 30%

B. 35%, 14%, 21% , 21%

C. 35%, 14%, 21%, 30%