g] Finally, we need to adjust our individual asset weights to account for systematic risk. To do this, multiply,r the weights you calculated for each asset in step (c) by the adjusted active portfolio weight in step (i). 1What are the weights on each asset? AIG: T9.2?% CITI: 316895 11} The weights you calculated in steps (f) and (g) give you the optimal portfolio. What is the risk premium of this portfolio? What is the variance of this portfolio? [Hint see steps 9 and It} from the "Elma-nary of Optimization Procedure" in Bodie, Kane, and Marcus, page 266"]. Compute the Sharpe Ratio. The standard deviation of the portfolio is 4.292% and the excess return of the portfolio is 0.919%. The Sharpe ratio is 0.9199'of4.21}2%=.213?%, which is larger compared to the Sharpe Ratio of the tangent portfolio (9.2131)