g) Finally, we need to adjust our individual asset weights to account for systematic risk. To do this, multiply the weights you calculated for each asset in step (c) by the adjusted active portfolio weight in step (f). What are the weights on each asset? AIG: 79.27% CITI: 37.68% h) 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 10 from the "Summary of Optimization Procedure" in Bodie, Kane, and Marcus, page 266"]. Compute the Sharpe Ratio. The standard deviation of the portfolio is 4.202% and the excess return of the portfolio is 0.919%. The Sharpe ratio is 0.919%/4.202%=0.2187%, which is larger compared to the Sharpe Ratio of the tangent portfolio (0.2131)