The risk-free asset has return of 4 percent. The two risky assets you can invest in are Standard Oil of the Yukon (SOY) and Endurance. SOY has a mean return of 7% and a standard deviation of 15%. Endurance has mean return of 5% and standard deviation of 10%. The correlation between the two is 0.6. The tangency portfolio has a weight of 55% in SOY.

You desire an expected return of 41%. What will be the standard deviation of your portfolio? What fraction of your portfolio will be invested in SOY?

B: (15 points) You desire an expected return of 41%. What will be the standard deviation of your portfolio? What fraction of your portfolio will be invested in SOY? B: (15 points) You desire an expected return of 41%. What will be the standard deviation of your portfolio? What fraction of your portfolio will be invested in SOY