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? (1 point)

2. Find the optimal risky portfolio, and its expected return and standard deviation. (5 points)

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

(5 points)

4. How much will a risk neutral investor invest in funds A and B and in T-bills? (3 pts)