30. Consider that you are an account manager in an Investment bank and you estimated the following variance-covariance matrix of returns: Security A Security B Security C Market Portfolio Covariance Matrix Security A Security B Security C Market Portfolio 0.09 -0.000251 0.0625 0.003 0.030625 0.02 0.035 0.01 0.04 Assume that the risk free rate is 2%, the expected market return is 10%, that the CAPM assumptions are valid and all securities are in equilibrium. A client of yours asked you to build a new portfolio - Portfolio X. Portfolio X has 40% of its funds invested in security A and 60% in security B. Compute the expected return and volatility of portfolio X. b. Another client asked you to build a new portfolio that invests 30% in Portfolio X and 70% in Security C. Compute the expected return and volatility of this client's portfolio. c. Show that Portfolio X is not efficient. Create an efficient portfolio with the same volatility as Portfolio X. What is the expected return of this portfolio? 30. Consider that you are an account manager in an Investment bank and you estimated the following variance-covariance matrix of returns: Security A Security B Security C Market Portfolio Covariance Matrix Security A Security B Security C Market Portfolio 0.09 -0.000251 0.0625 0.003 0.030625 0.02 0.035 0.01 0.04 Assume that the risk free rate is 2%, the expected market return is 10%, that the CAPM assumptions are valid and all securities are in equilibrium. A client of yours asked you to build a new portfolio - Portfolio X. Portfolio X has 40% of its funds invested in security A and 60% in security B. Compute the expected return and volatility of portfolio X. b. Another client asked you to build a new portfolio that invests 30% in Portfolio X and 70% in Security C. Compute the expected return and volatility of this client's portfolio. c. Show that Portfolio X is not efficient. Create an efficient portfolio with the same volatility as Portfolio X. What is the expected return of this portfolio