PLEASE ONLY ANSWER (a)

(a) Portfolios A through J, which are listed in the following table along with their returns (ip) and risk (measured by the standard deviation, Sp), represent all currently available portfolios in the feasible or attainable set. 11 16 Portfolio Return, rp (%) Risk, sp (%) A 9 8 B 3 3 C 14 10 D 12 14 E 7 F 11 6 G 10 12 H 16 I 5 7 J 8 4 Required: (1) Plot the feasible, or attainable set represented by these data on a graph showing portfolio risk, sk (x-axis), and portfolio returns, tp (y-axis). (5 marks) (11) Draw the efficient frontier on the graph in part (i). (5 marks) 5 (iii) Which portfolios lie on the efficient frontier ? Why do these portfolios dominate all others in the feasible set ? (6 marks) (iv) How would an investor's utility function or risk-indifference curves be used with the efficient frontier to find the optimal portfolio ? (4 marks) (b) Some studies related to the efficient market hypothesis generated results that implied that additional factors beyond beta should be considered to estimate expected returns. What are these other variables and why should they be considered ? (5 marks) [Total : 25 Marks]