The next three questions are based on the following problem. Consider the market with no T-bills and two risky securities A and B such that E(A) =8.00%, a A =30.00%, E(rB)=15.00%, 0B

=40.00% with the correlation coefficient equal to +1

30 Suppose that T-bills with the risk-free rate of 3% are added to the market with securities A and B described above. What should be the optimal strategy for George (assume that y. yo. Yr os are the weights of securities A, B, and T-bilis in the complete portfolio)? o Take a short position in as marry minimum vatiince portfolios as possible and buy the same number of bills OD YA 17-11 oc Take a short position in (or issue) as many T-bilds as possible and buy the same number of minimum variance portfolio od 333, y=0 333, OO YA 4 Y-3 1-0 30 Suppose that T-bills with the risk-free rate of 3% are added to the market with securities A and B described above. What should be the optimal strategy for George (assume that y. yo. Yr os are the weights of securities A, B, and T-bilis in the complete portfolio)? o Take a short position in as marry minimum vatiince portfolios as possible and buy the same number of bills OD YA 17-11 oc Take a short position in (or issue) as many T-bilds as possible and buy the same number of minimum variance portfolio od 333, y=0 333, OO YA 4 Y-3 1-0