The universe of available securities includes two risky stock funds, A and B, and T-bills. The data for the universe are as follows:

Asset	Expected return	Standard Deviation
A	22%	15%
B	17%	33%
T-Bills	8%	?

The correlation coefficient between funds A and B is 0.7.

1. What is the standard deviation of the T-Bills?

2. Find the optimal risky portfolio, and its expected return and standard deviation.

3. How much will an investor with a risk aversion A=4 invest in funds A and B and in T-bills?

4. How much will a risk neutral investor invest in funds A and B and in T-bills?