Assume you are a portfolio manager for a large pension fund and in charge of allocating fundsacross major asset classes. Specifically, today is 12/31/2014 and you are assembling a portfoliofor January of 2015. Your investment universe consists of T-bonds (Barclays U.S. Treasuryindex), investment grade corporate bonds (Barclays U.S. Corp index), domestic stocks (S&P500), international stocks (MSCI World index), commodities (Goldman Sachs Commodity In-dex), and gold. Asset allocation decisions are made based on mean variance analysis.On Canvas, you will find an Excel file containing historical monthly net returns for these assets.Assume that the risk-free rate for 1/2015 equals 25 basis points per month.QUESTIONS:AReport the mean and variance-covariance matrix for all assets.BBased on the moments you estimated in A, find the tangency portfolio and the minimumvariance portfolio. Report the mean, standard deviation, and portfolio weights for bothportfolios.CCompute the optimal share invested in risky assets for an investor with the utility functionU=2and values for risk aversion,, between 10 and 40.1Plot the optimalrisky asset share as a function of. Is the function increasing or decreasing? Explaineconomically why you find the slope that you do.DPlot the frontier of risky assets. To do so, use the minimum variance portfolio and thetangency portfolio found above, along with the two fund separation property. Use weightsbetween -25 and 15 on the minimum variance portfolio (i.e. -2500% to 1500%). Add theindividual assets as dots to the plot.ESuppose you form a portfolio that invests in both the minimum variance portfolio and thetangency portfolio. If the weight on the minimum variance portfolio equals 40%, what arethe weights on the individual assets (T-bonds, corporate bonds, etc.)?