Suppose you can invest in two mutual funds, Sand B, and a risk-free asset. You have the

following information: E(rs) = 12%; los = 20%; E(r) =6%; Je = 10%; Pse = 0.3; and ri = 4%. You also know

that the weights of the optimal risky portfolio are Xs = 0.68 and X = 0.32.

a.) Consider only the two risky assets. What are the weights of a portfolio that has an expected return of 8%? What is that portfolio's standard deviation?

b) What are the expected return and standard deviation of the optimal risky portionio

c.) What are the weights of an efficient portfolio with an expected return of 8%? What is that portfolio's standard deviation?