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the expected return and standard deviation of S is 14% and 29%, respectively. the expected return...

the expected return and standard deviation of S is 14% and 29%, respectively. the expected return and standard deviation of B is 6% and 15%, respectively. correlation between S and B is -0.1

T-bill rate is 1% and The client’s risk aversion (A) is 8

1- What is the expected return and standard deviation of the optimal risky portfolio?  2-Find the proportion of the optimal risky portfolio (= y) in your client’s complete portfolio.

3-What is the expected return and standard deviation of your client’s complete portfolio?

4-What is the overall asset allocation (= % of S, B, and T-bill) of your client’s complete portfolio?

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