Question 21: I am interested in constructing the best possible portfolio from a set of securities, $1, 52, and 53, each of which has an expected return E(r) and volatility or risk 5. Below I see their risk-return characteristics. Suppose the risk-free rate is 0.65%%. Rank the three securities from lowest to highest according to the slope of their Capital Allocation Line, that is, their Sharpe ratio: Securities Risk-free rate Expected Return and Volatility [r) Sharpe ratios 5.0% 3.0% 4.0% 3.5%% 53 6.0% 3.6% Question 22: Note the [incomplete) variance-covariance matrix $ shown in the spreadsheet. If the correlation between $1 and 52 is 0.45, that between 52 and 53 is 0.02, and that between 51 and 53 is 0.5, fill in the remaining elements of the variance-covariance matrix. Variance-covariance matrix 5 52 SE 51 0.00090 0.00047 0.00054 52 0.00047 0.00123 0.00000 53 0.00054 Question 23: 23. Now that you have filled the 5 matrix, follow the matrix solution procedure discussed in Module 6 to obtain the optimal portfolio P*. Enter the weights obtained for each of the securities, with three decimal places. Inverse of the Variance-Covariance Matrix Excess Return Vector Z Vector Optimal Portfolio R - Rf weights, w Sum 0.001 Question 24. 24. Enter the Sharpe ratio for P*, with two decimal places. Hint: recall that Expected return of a portfolio is the weighted average of the expected returns, and variance of a portfolio = WT.S.w, where wis the (column) vector of portfolio weights and wT is its transpose. Expected return of p* Variance of p* of p+ Sharpe ratio for P*