Review Developer Help Inquire Power Pivot Share Comments + ? Solver ra AL HO WAH File Home Insert Page Layout Formulas Data View Le From Text/CSV Recent Sources Queries & Connections le From Web [ Existing Connections B: Properties Get Refresh Data From Table/Range All Edit Links Get & Transform Data Queries & Connections Clear Reapply Advanced 14 Flash Fill - Consolidate Remove Duplicates Relationships Text to Columns Es Data Validation Manage Data Model Stocks Currencies Automatic Sort Anatomy Filter Z Animals What If Forecast Analysis Sheet Group Ungroup Subtotal Data Types Sort & Filter Data Tools Forecast Outline Analyze S_2 fr =SQRT(63) A E F. G H 1 2 Asset A 0 Variance-covariance matrix 0.0009 0.0006 0.0006 0.0016 B D El Return) StdDev( Return) Correlation 5% 3% 0.5 4% 4% 10% 2% 0% 0 3 Asset B 0 0 7% 0 0.01 0 4 Asset C 5 Risk-free asset 0 0 0 0 A B C B Weights 0.5 0.5 1 2 Asset A 3 Asset B 4 Sum of weights 5 6 Risk aversion coefficient 1 40 7 8 9 portfolio variance 10 expected portfolio return 11 Sharp Ratio 12 13 Question 6 1 pts Use the data in the supplied spreadsheet to answer this question. If the investor can only invest in the risk-free asset and the risky assets A and B, what is the standard deviation (as a percentage) of the tangency portfolio (that portfolio of risky assets only that maximises the portfolio Sharpe Ratio? Solve using the Excel solver. B Weights 0.5 0.5 1 A 1 2 Asset C 3 Risk-free asset 4. Sum of weights 5 6 Risk aversion coefficient 7 8 portfolio variance 9 expected portfolio return 10 Maximise expected utility 11 40 12 Question 7 1 pts Use the data in the supplied spreadsheet to answer this question. If the investor can only invest in the risk-free asset and the risky asset C, what is the expected rate of return of the optimal portfolio for investor with expected utility, E(U) = E(rp) 0.5 x 400%? Solve by hand and using the Excel solver. Express the answer as a percentage