You manage a risk portfolio with an expected rate of return of 17% and a stdev of 27%. The T-Bill rate is 7%.

q) Suppose you have two risky assets, Asset A and Asset B.

Asset A has expected return of 10% and a stdev of 10%.

Asset B has expected return of 30% and a standard deviation of 60%.

The correlation coefficient between Asset A and Asset B is -0.4.

Write the optimization problem whose solution will give the optimal risky portfolio if short selling is not allowed in this market.

(Do not solve the optimization problem)