1. Your asset allocation benchmark has 5 asset classes: US large stocks, US small stocks, EAFE Equity, EM Equity, and REITS. The corresponding benchmark weights are: US large stocks: 35% US small stocks: 5% EAFE equity: 40% EM equity: 15% REITS: 5% The spreadsheet for the annual expected return E() and volatility of each asset class, as well the correlation of returns for all pairs of asset classes. To save time, an incomplete covariance matrix V based on such estimates is also provided. a) Find your estimates for the vector of Expected Active Returns E[] and complete the covariance matrix of returns V. b) Find the optimal portfolio for a target Active Risk of 6% per year, assuming that short-positions are allowed. What is the Information Ratio of such portfolio? c) What is the probability that the optimal portfolio from b) will beat (i.e., outperform) the benchmark? d) What is the probability that the optimal portfolio from b) will have negative returns?