Question 11. Mean-Variance Analysis and the CAPM. Consider the following information about the mean return and covariance for three Italian companies: Unicredito Italiano, Telecom Italia and Fiat. Correlation with Stock Unicredito Telecom Fiat Expected Historical Variance Italiano Italia Return Return Unicredito 1 0.14 0.15 17% 16.8% 19.2 Italiano Telecom 0.14 1 0.36 12% -6% 22.8 Italia Fiat 0.15 0.36 1 40% 58.1 49% (a) Compute the tangency portfolio weights assuming a risk-free asset yields 5%. Question 11. Mean-Variance Analysis and the CAPM. Consider the following information about the mean return and covariance for three Italian companies: Unicredito Italiano, Telecom Italia and Fiat. Correlation with Stock Unicredito Telecom Fiat Expected Historical Variance Italiano Italia Return Return Unicredito 1 0.14 0.15 17% 16.8% 19.2 Italiano Telecom 0.14 1 0.36 12% -6% 22.8 Italia Fiat 0.15 0.36 1 40% 58.1 49% (a) Compute the tangency portfolio weights assuming a risk-free asset yields 5%