1. The following table shows your estimated performance of three risky assets based on the single index market model (SIMM): Expected Beta Residual variance Asset return (in %) coefficient in SIMM . N Hi Bi A 9 1.0 504 B 11 . 1.2 576 15 0.8 1081 Note that the market index has a standard deviation of 15%. If you plan to invest $100, 000 in a portfolio consisting of the above three assets and a risk-free asset which yields a risk-free rate of 2%, do you need to borrow at the risk-free rate if you expect to earn a portfolio return of 10%? Assume short selling is allowed