You can invest in a risky portfolio that offers an expected rate of return of 25% and a standard deviation of 18%. You can also invest in T-bills, which have a risk-free rate of return of 3%. Your risk aversion coefficient is A = 2.

(a) What would be the optimal proportion that you would invest in T-bills? What would be the optimal proportion that you would invest in the risky portfolio?

(b) What is the expected return of the overall portfolio?

(c) Graph the CAL