Question 3. [22 marks] You are responsible for a portfolio that consists of 60000 invested in a risk-free asset with zero interest rate, 3000 stocks of company A and 1 000 stocks of company B. The stock-prices are shown in the following figure, where we see that they are currently SA = 26.00 for company A and SE = 18.50 for company B. 40 Company A Company B 30 20 Mom 10 2015 2016 2017 2018 2019 Figure: Historic stock price of companies A and B. (a) What is the portfolio's current value? (b) The portfolio should always have at least 25% of its value invested in the risk-free asset. Is this criterion fulfilled at the current time? Justify your answer by computing the current proportion invested in the risk-free asset. (d) Derive the variance of the return of the portfolio in terms of the variances of the returns of the single assets Var(R4), Var(RB) and their covariance Cov(RA, RB). You may round to two digits after the decimal point. Carefully justify all steps in your derivation Hint: You will need to correctly account for the different proportions of the two assets. Question 3. (22 marks] You are responsible for a portfolio that consists of 200000 invested in a risk-free asset with so interest rate, 3000 stocles of company A and 1000 stodes of company B. The stock-prices are shown in the following figure, where we see that they are currently S - 26.00 for company A and S = 18.50 for company B. Company Company B 30 20 10 2015 2016 2017 2018 2019 Fame Historie stock price of companies A and B. (a) What is the portfolio's current value? (b) The portfolio should always have at least 25% of its value invested in the risk-free Is this criterion fulfilled at the current time? Justify your answer by computing the care proportion invested in the risk-free (4) Derive the variance of the retum of the portfolio in terms of the variances of the returns of the single assets Var). Var(R) and their covariance Cover) You may round to two digits after the decimal point. Carefully justify all steps in your derivation Hint: You will need to comectly account for the different proportions of the two assets