The T-Bill's return is 3%. The Index A and Index B have the expected returns of 15% and 10% and the standard deviation of 30% and 20%. The correlation between returns of Index A and B is 0.7. Which of the following portfolios would you select if you were risk averse with a = 2? The utility function is U (4,0) = p fao?. The weights of T-Bill Index A Index B Portfolio 0 80% 0 20% 60% 2 40% The T-Bill's return is 3%. The Index A and Index B have the expected returns of 15% and 10% and the standard deviation of 30% and 20%. The correlation between returns of Index A and B is 0.7. Which of the following portfolios would you select if you were risk averse with a = 2? The utility function is U (4,0) = p fao?. The weights of T-Bill Index A Index B Portfolio 0 80% 0 20% 60% 2 40%