Asset	Alpha	Beta with respect to market index	Idiosyncratic variance
1	0.02	0.9	0.33
2	0.005	1.6	0.19

In addition, there is the market portfolio, which has an expected return of 8.7% and a variance of 0.14, and the riskless asset, which returns 3.1%.

3B. Assuming the beta of your actively managed portfolio is 1, what proportion of the optimal risky portfolio should be composed of the market portfolio? 5 points

3D. What is the optimal risky portfolio for these assets, using the index model? 5 points

3E. If you have a coefficient of risk aversion of 2.4, what is the certainty equivalent of this risky portfolio? 5 points