https://1drv.ms/x/s!Akte1gkFH9VZkXHkRYB_WJpZD2PX?e=NGvh4w

Solve the optimization problem for the portfolio frontier of risky asset classes (without the risk-free asset) using the following four expected returns: 4%, 6%, 8%, 10%. This means that you need to add another constraint to the optimization: that the weight on the risk-free asset is equal to zero. For each expected return, you need to redo steps 2 and 3 of the optimization above (in Step 2 you just need to change the constraint on the expected return).

a. Provide a table with the expected returns, standard deviations, and weights of the four portfolios along the portfolio frontier.

b. Provide an XY scatter chart (connected with a smooth line) of the standard deviation (X-axis) and expected return (Y-axis) of the four portfolios on the risky frontier.

Now add the risk-free asset (i.e., delete the constraint in the Solver that the weight on the risk-free asset has to be zero). The risk-free rate for investment is 3.5%. Optimize again to get the weights and the standard deviation for a portfolio with 10% expected return.

a. Write down the weights on all the asset classes.

b. What happened to the standard deviation (compared to the result you got in the portfolio optimization in (1.a) and why?