You invest $100 in a risky asset with an expected rate of return of 0.12 and a standard deviation of 0.15 and a T-bill with a rate of return of 0.05.

What percentages of your money must be invested in the risk-free asset and the risky asset, respectively, to form a portfolio with a standard deviation of 0.06?

		30% in the risky asset and 70% in the risk free-asset
		50% in the risky asset and 50% in the risk-free asset
		60% in the risky asset and 40% in the risk-free asset
		40% in the risky asset and 60% in the risk-free asset
		Cannot be determined.