A loan officer is creating a loan portfolio by combing three other loan funds high risk, medium risk, and low risk The officer is considering five interest rate environments A B C DAND and has estimate the return of each fund in each scenario in the below table. The officers goal is to generate returns of and in environments ABCD and E respectively. What proportion of each fund should be in the portfolio?

A B C D E

High Risk

Medium Risk

Low Risk

a What proportion of each fund should be in the portfolio?

b What if we also require that the return in each scenario to be nonnegativ