5) Portfolio Optimization - Asset Allocation (20 points) Institutional Investor - Corner Portfolios Asset Class (Portfolio Weights) Expected Standard Return Deviation Sharpe Domestic Foreign Intermediate Ratio Equities Equities Bonds Long-Term Bonds International Bonds Real Estate Corner Portfolio Number 1 2 3 4 5 6 7 10,0% 89% 8,4% 7.9% 7,3% 6,1% 5,3% 15,0% 11,0% 9,8% 9,0% 7,8% 5,9% 5,4% 0,53 0,62 0,65 0,66 0,68 0,7 0,62 100,0% 61,9% 40,3% 32,5% 19,9% 0,0% 0,0% 0,0% 0.0% 13,9% 14,3% 21,1% 26,6% 13,0% 0,0% 00% 0,0% 0,0% 16,9% 37,8% 59,9% 0,0% 00% 0,0% 0,0% 0,0% 0,0% 0,0% 0,0% 0,0% 0.0% 8,7% 0,0% 0,0% 0,0% 0,0% 38.1% 45,8% 44,5% 42,1% 35,6% 27,1% Using the information given above, answer the following questions: i. What is the maximum weight of foreign equities in any portfolio on the efficient frontier? (5 points) ii. What are the asset class weights in an efficient portfolio with an expected return of 8.6 percent? (10 points) Which asset class is most important in the 8.6 percent expected-return efficient portfolio? Explain. (5 points)