Total 5 Points Suppose you are currently invested in a portfolio (P) that has an expected return of 10.5% and volatility of 7%. Suppose the market portfolio has a volatility of 12% and an expected return of 17.3%. Assume that the risk-free rate is 3%. Suppose the CAPM assumptions hold, i.e., the market portfolio Is the tangent portfolio. a. What percentage of your money should be in the market portfolio and how much should be in the risk-free asset in case you want the same return of 10.5%, and what shall be the resulting standard deviation of such an allocation ( 2.5 Points) b. What shall be the expected return if, instead of P, you invest in a combination of the market portfolio and the risk-free asset that has 1.5 times the volatility of P ? (2.5 Points)