Suppose the risk-free asset has a rate of return of 8%. Information about the optimal risky portfolio is as follows:

• The expected return of the optimal risky portfolio is 15.61%
• The standard deviation of the optimal risky portfolio is 16.54%
• There are two risky assets in the optimal risky portfolio, the optimal weights of stocks and bonds in risky portfolio are .4516 and .5484, respectively.

a) What is the reward-to-variability (Sharpe) ratio of the best feasible CAL?

b) You require that your portfolio yield an expected return of 14% and be efficient on the best feasible CAL. What is the standard deviation of your portfolio?

c) You require that your portfolio yield an expected return of 14% and be efficient on the best feasible CAL. What is the proportion invested in the T-bill fund and each of the two risky assets?