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

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

Expected Return Standard Deviation

A 10% 20%

B 30 60

T-bills 5 0

The correlation coefficient between funds A and B is 0.2.

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

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