a. b. c. d. I and II only II and IV only I, II and III only I, III and IV only A portfolio generates an annual return of 13%, a beta of 0.7 The market index return is 14% and has a standard deviation of 21%. The risk Answer the following two questions: and a standard deviation of 17%. free rate is 5%. 21. T o construct a mimicking portfolio of the M2 measure of the portfolio, what is the weight on the risk free asset? a. 1.235 b. 0.810 c. 0.190 d. -0.235 22. What is the M2 measure of the portfolio? a. b. . d. 0.88% 0.78% 0.68% 0.5890 23. In a particular year, Wiseguys Mutual Fund earned a return of 15% by making the following investments in the following asset classes Weight Return Bonds 10% 6% Stocks 90% 16% The return on a bogey portfolio was 10%, calculated as follows: Return 5% 15% Weight Bonds (Lehman Brothers Index) 50% Stocks (SSP 500 Index) The contribution of asset allocation across markets to the total excess return was 50% a. 5% b. 4% . 3% d.1%