financial market and risk management

1. Consider an eicient frontier that is described by the function E[Rp] = 2% + VO'p 0.05. The minimum variance portfolio is assumed to be given by Up = 5%. Consider an investor that has mean-variance preferences given by 102 ElRPl 5% where the level of risk tolerance is given by T = 5. Assume now that the portfolio returns are normally distributed. Consider an investor that would like to minimize the probability to make losses on the investment (or the probability of receiving a return R S 0). (e) Find the optimal portfolio for the investor to invest in