E(R)RY=0.15% E(R) TRI.TO =0.02% E(R)CNR.TO=0.02% E(R)BAM=0.72% E(R) ENB.TO =0.17 Rf=1.7% A=2 Let yT=(y1,,yn) be an array of weights of risky securities in complete portfolio C (symbol "T" stands for transposed), RPPT=(E(r1)rf,,E(rn)rf) be an array of risk premiums of risky securities, then yT=A1RPTV1 where V1 is the inverse covariance matrix. Assume that the annual equivalent risk-free rate is 1.7% and consider an investor whose coefficient of risk aversion equals to 2 . Use the formula in the Appendix below (based on the Markowitz model) to find the optimal weight of each stock and T-bills in the complete portfolio of the investor. Which stock has the highest weight? How do you explain it? Does any stock have a negative weight? Why? E(R)RY=0.15% E(R) TRI.TO =0.02% E(R)CNR.TO=0.02% E(R)BAM=0.72% E(R) ENB.TO =0.17 Rf=1.7% A=2 Let yT=(y1,,yn) be an array of weights of risky securities in complete portfolio C (symbol "T" stands for transposed), RPPT=(E(r1)rf,,E(rn)rf) be an array of risk premiums of risky securities, then yT=A1RPTV1 where V1 is the inverse covariance matrix. Assume that the annual equivalent risk-free rate is 1.7% and consider an investor whose coefficient of risk aversion equals to 2 . Use the formula in the Appendix below (based on the Markowitz model) to find the optimal weight of each stock and T-bills in the complete portfolio of the investor. Which stock has the highest weight? How do you explain it? Does any stock have a negative weight? Why