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) is 17.5%

Bill, another Jasons client, wants to form a portfolio between Jasons risky portfolio and the T-bill; and, Bill wants the standard deviation of the portfolio to be 12%. What should the proportion of Bills investment be allocated in the T-bill?