(a)Brenda Box, an investor, holds the market portfolio, which has an expected return of 13% per annum and a standard deviation of 18%. Brenda also has access to the risk-free asset which has a rate of return of 5% per annum and a standard deviation of 0%. She may also borrow at the same risk-free rate. Brenda wishes to move to a portfolio which has a return of 15% per annum, which will maximize her utility.

i) Using the above information, explain what Brenda could do to create portfolio with a 15% per annum rate of return.

i) If Brenda creates this new portfolio, what will be its standard deviation?

b)Lisa Brown, an Australian investor, bought a French -based investment at a price of EUR105,000. One year later, Lisa Brown sold the investment for EUR136,500. Over the time of her investment, the EUR / AUD exchange rate rose by 25%.What was Lisa's overall percentage return in AUD? Show all calculations, and the answer as a percentage correct to 2 decimal places.

c)A $100,000 bond has a term to maturity of one year. There are two coupon interest payments yet to be paid, one due in 6 months and the second to be paid along with the face value when the bond matures in one year. The coupon rate is 6% per annum, payable half-yearly, and the yield to maturity is 4% per annum, compounded half-yearly. The current price of the bond in $101,941.56.

i)Calculate the duration of the bond.

ii) Calculate the convexity of the bond.

d)A zero-coupon bond has one year to maturity and a face value of $100,000. The yield to maturity is 9% per annum, compounded half-yearly.

(i)What is the duration of the bond?