You are currently 100% invested in the S&P500. You are evaluating two trading strategies. You have historical data on the returns to these strategies and the S&P500. After analyzing the data you come up with the following estimated quantities ("1" refers to the first strategy, "2" refers to the second strategy, rfis the risk-free rate and S&P refers to the S&P500):

E(r1) = 15% 1= 0.50 1,S&P= 0.35

E(r2) = 6% 2= 0.30 2,S&P= 0.25 1,2= 0.4 E(rS&P) = 12% S&P= 0.15

rf= 5%