1. Mr B. Shrewd has recently inherited £350,000 and is looking at ways to invest the money.

He is aware of portfolio theory and the importance of the market portfolio. From his research he discovers the following:

Security

expected returnstandard deviation

Market portfolio

12%3%

Share A

10%4%

Share B

13%6%

Share C

17%6.5%

Risk free

(a) If Mr Shrewd is prepared to accept risk equivalent to a standard deviation of 6% how should he invest his money? What will the expected return of his investment be?4.5%0%