You survey a client and you conclude that she can tolerate a standard deviation T of at most 12%. You can allocate your clients wealth into a corporate bond fund, a common stock fund, and a U.S. T-Bills (risk -free), with the following means and standard deviations:

	ERi	i
Bond fund (B)	15%	17%
Common stock (S)	21%	35%
U.S. T-Bill (rf)	9.5%	0%

The correlation between the stock fund and the bond fund is B,S=0.7

A. Find the optimal risky portfolio (5 points)

wB= ________% wS= ___________%

B. Find the expected return and risk of the optimal risky portfolio (5 points)

E(Rrisky)= ________% risky= ___________%