Suppose that you have the following two opportunities from which to construct a portfolio: 1) Risk-free asset earning 12% per year. II) Risky asset with expected return of 30% per year and standard deviation of 40%. a) If you construct a portfolio with a standard deviation of 30%, what is the expected rate of return? [2] b) It is known that the market portfolio yields an expected return of 21% with standard deviation of 20%. Is the portfolio in (a) efficient? Why? [3]