10. Tom Tubduhl is a consultant to the board of directors of the U.S.-based Thompson Foundation. The board asks Tubduhl to recommend an asset allocation for Thompson. The investment policy statement indicates the required annual rate of return on investment portfolio is 9.0%. The risk objectives are (1) diversify the portfolio consistent with prudent investment practices, (2) minimize portfolio risk while achieving return objective, and (3) leverage is not allowed. For the strategic asset allocation analysis, Tubduhl has generated the corner portfolios as follows. Corner Portfolios (Risk-free Rate = 3.0%) Asset Class Portfolio Weights (%) Corner Portfolio Number Annual Expected Standard Deviation (%) Annual Expected Return (%) Non- Sharpe Ratio U.S. Equities U.S. Equities Long- term U.S. Bonds Inter- mediate- term U.S. Bonds Non- U.S. Bonds Real Estate 1 10.9 16.3 0.48 100.0 0.0 0.0 0.0 0.0 0.0 2 10.5 14.7 0.51 82.4 0.0 0.0 0.0 0.0 17.6 3 10.2 13.7 0.53 74.1 4.0 0.0 0.0 0.0 21.9 4 9.4 10.1 0.63 33.7 12.0 36.7 0.0 0.0 17.6 5 8.8 8.6 0.67 31.4 12.0 26.7 13.0 0.0 16.9 6 8.2 7.3 0.71 25.0 11.8 0.0 45.3 3.4 14.5 7 6.9 5.3 0.74 0.0 13.7 0.0 53.0 27.1 6.2 8 6.4 4.9 0.69 0.0 11.2 0.0 53.0 31.5 4.3 Questions: (1) Select the two adjacent corner portfolios to be used in finding the most appropriate strategic asset allocation for Thompson's investment portfolio, (2) determine the most appropriate allocation between these two adjacent corner portfolios, and (3) determine the percentage that would be invested in U.S. equities based on the moststrappropriate strategic asset allocation. sp