4 [15 marks (a) A portfolio of risky assets has parameters a , b 3, c 10. Find the feasible set in the -plane. (i) A riskless asset with rate of return ro 2 units for both lending and borrowing () State the one fund theorem in terms of the market portfolio PM. Prove that (i) Determine the allocation to the riskless and risky assets of an investor with a is added to the portfolio. Find the capital market line. tM-1/(b-aro). Use this result to find and . risk aversion parameter t-1/5 4 [15 marks (a) A portfolio of risky assets has parameters a , b 3, c 10. Find the feasible set in the -plane. (i) A riskless asset with rate of return ro 2 units for both lending and borrowing () State the one fund theorem in terms of the market portfolio PM. Prove that (i) Determine the allocation to the riskless and risky assets of an investor with a is added to the portfolio. Find the capital market line. tM-1/(b-aro). Use this result to find and . risk aversion parameter t-1/5