EXERCISE You are attempting to construct an optimum portfolio. The following securities are under review. Assuming that the risk free rate and the market variance is at 3.5% and 12% respectively; and short selling is prohibited Stock E(r) in % Beta Residual Variance ' 16 1.05 30 M 0.95 20 MT 0.75 40 D 0.97 25 B 1.03 15 N 0.89 32 K 1.15 30 . Identify which securities will be part of your optimum portfolio . Calculate how much you will invest in each fund if you were given RM 5 mill for your initial investment 555555 10 12 13 10 15