(d) Suppose the risk-free rate is 5%, how much of security F is included in the market portfolio M? Briefly explain

(e) Assume that you want to form a portfolio that consist of a long position of $18,000 in asset C and a short position of $6,000 in asset A. What is the expected return and risk of this portfolio?

(f) You have $100,000 to invest. You would like use a combination of M and F to obtain a standard deviation of 4% on your overall portfolio. How much (in dollars) do you invest in F if you choose the most efficient portfolio possible? What is the return of this portfolio?

oi You have information on several possible investments as laid out in the table below. A, B, and C are individual risky securities. For now, assume these are the only 3 risky investments that comprise the market. F is the risk-free asset. M is the market portfolio. All returns are annual returns. Correlation Matrix Investment E(r) A B F M A 19.20% 36% 1.0000 0.7000 0.6000 0.0000 0.5 B 21.90% 35% 1.0000 0.5000 0.0000 0.6 12.00% 25% 1.0000 0.0000 0.4 3.00% 0% 1.0000 0.0 M 12.00% 10% 1.0 Answer the following questions with respect to this investment information: F