1. Refer to the Optimization worksheet.

This worksheet contains the annual returns of three risky assets (A, B, and C) and the risk-free asset. Each row represents returns in a particular year. Based on this data, perform the following tasks.

Asset A	Asset B	Asset C	Portfolio	Risk-free asset
3.24%	16.81%	43.68%		1.18%
-9.07%	21.20%	37.14%		1.10%
0.91%	23.77%	-7.95%		1.24%
-1.87%	25.24%	29.46%		1.58%
1.36%	28.97%	14.41%		2.04%
-6.61%	2.34%	13.96%		1.33%
-7.40%	31.53%	21.74%		1.49%
6.25%	4.98%	21.40%		1.35%
-1.75%	-2.90%	24.96%		1.07%
4.15%	12.08%	32.56%		1.69%
-10.84%	23.42%	19.58%		1.90%
0.97%	12.51%	12.66%		2.04%
-12.40%	24.16%	-9.64%		1.74%
-8.49%	24.23%	30.22%		1.36%
-5.51%	7.48%	8.61%		1.95%
-5.15%	29.94%	47.78%		1.48%
-8.92%	3.42%	32.80%		1.30%
-14.77%	10.20%	48.95%		2.01%
-8.65%	0.68%	3.51%		1.17%
-0.83%	2.40%	1.11%		1.29%
1.79%	15.94%	-9.14%		2.03%
8.19%	3.70%	-2.85%		1.11%
-8.13%	27.61%	-9.99%		1.69%
17.75%	15.50%	39.28%		1.32%
-4.13%	3.28%	10.73%		1.14%
-4.49%	12.46%	30.35%		1.19%
-10.06%	3.34%	8.74%		1.84%
6.61%	16.51%	39.35%		1.57%
-11.32%	30.07%	-1.63%		1.85%
5.21%	18.61%	7.99%		1.72%
-6.03%	1.08%	43.86%		1.65%
-9.59%	7.10%	20.57%		1.71%
-0.84%	-1.99%	27.96%		1.17%
-4.70%	-0.10%	-26.30%		1.58%
6.04%	7.78%	31.81%		1.81%
-1.08%	16.67%	18.17%		1.22%
-11.20%	11.41%	37.56%		1.07%
5.41%	24.52%	39.88%		1.86%
-0.84%	17.01%	-5.47%		1.14%
-4.04%	1.60%	9.50%		1.54%
-10.79%	-1.51%	2.59%		1.16%
10.47%	16.64%	30.67%		1.72%
-1.72%	24.25%	35.04%		1.25%
-9.81%	8.09%	-0.48%		1.97%
13.31%	1.58%	-6.83%		1.24%
-5.73%	0.77%	32.45%		1.08%
-9.66%	24.14%	4.23%		1.54%
-14.62%	6.13%	19.00%		1.35%
-7.05%	12.76%	10.08%		1.40%
12.59%	27.29%	36.15%		1.58%

Construct a portfolio with the following weights: 50% Asset A; 25% Asset B; 25% Asset C. For this portfolio, compute the:

(a) mean portfolio returns, (b) standard deviation of portfolio returns, and

(c) Sharpe ratio of the portfolio. For part (d) You are subject to these conditions:

short-selling is allowed, and the portfolio weight on Asset A cannot exceed 50%. the portfolio weight on Asset B cannot exceed 25%.

(d) Find the portfolio weights on the risky assets that maximize the Sharpe ratio of the portfolio.

For part (e), you are subject to these conditions: short-selling is allowed, and

the portfolio weight on Asset C cannot exceed 10%.

(e) Find the portfolio weights on the risky assets that minimize the portfolio standard deviation.