Assume two mutually exclusive active portfolios, EasyAlpha and VirginFund EasyAlpha has alpha of 2%, beta of 0.8,and residual standard deviation of 40%. VirginFund has alpha of 7%, beta of 1.1%, and residual standard deviation of 75%. Assume two alternative market forecasts, optimistic and pessimistic. Under optimistic forecast, Rm-Ry=6% and =20%. Under pessimistic forecast, Rm-Ry=2% and = 20%.Based on the Treynor-Black approach, what is the investment weight of EasyAlpha within the optimal combined portfolio under each market forecast condition?

a) optimistic =0.082, pessimistic =0.238

b)optimistic=0.254,pessimistic=0.086

c) optimistic=0.314,pessimistic=0.005

d)optimistic=0.062,pessimistic=0.412

e) none of the above