Note: Part a, b and c are not related to each other. a. PortfolioMan wants to create a portfolio as risky as the market and he has $1,000,000 to invest. Given this information, fill in the three missing values of the following table: Asset A B C D Risk-free asset Investment $170,000 $140,000 $130,000 $200,000 ? Beta 1.6 1.5 1.1 ? ? b. An asset's reward-to-risk ratio is defined as its risk premium divided by its standard deviation. It is a useful statistic to summarize the asset's risk-return trade-off. Consider the following information: Stock A has a reward-to-risk ratio of 0.4 and stock B has a reward-to-risk ratio of 0.33. Stock A's risk premium is 8%, stock B's risk premium is 10% and the market risk premium is 7%. The correlation between stocks A and B is 0.6. Assume the CAPM holds. A portfolio consisting of stocks A and B has 20% more systematic risk than the market. Calculate the total risk of this portfolio. c. Julia invests 20% of her wealth in the risk free asset and the rest in FB shares and BHC shares. The risk premium on FB shares is 10%, the risk premium on BHC is 7% and the market risk premium is 8%. Julia's total portfolio of the three assets is 10% less risky than the market portfolio. Calculate the weight of FB in her portfolio. Assume that the Capital Asset Pricing Model holds.