You have $70,000 to invest. You've done some security analysis and generated the following data for two stocks and Treasury bills:

Security	Stock A	Stock B	T-bills
Expected return (%)	12	6	2
Variance	0.04	0.0144	0
Correlation with stock A	1	0.3	0

Part 1

What is the weight of stock A in the optimal risky portfolio (ORP)?

Adding the standard deviation for each stock:

Security	Stock A	Stock B	T-bills
Expected return (%)	12	6	2
Variance	0.04	0.0144	0
Standard deviation	0.2	0.12	0
Correlation with stock A	1	0.3	0

= (0.120.02)0.0144 (0.060.02) 0.20.120.3(0.120.02)0.0144+(0.060.02) 0.04 (0.120.02 +0.060.02)0.20.120.3(0.12-0.02)0.0144 -(0.06-0.02) 0.20.120.3(0.12-0.02)0.0144+(0.06-0.02) 0.04 -(0.12-0.02 +0.06-0.02)0.20.120.3

= 0.567

Part 2

If you invest 20% of your funds in T-Bills, what is the expected return of this complete portfolio?

Part 3

What is the standard deviation of the optimal risky portfolio?

Part 4

What is the Sharpe ratio of your complete portfolio?

Part 5

How much money do you have to invest in stock B to achieve this Sharpe ratio (in $)?