roblem 3 (Required, 30 marks) (a) We consider an investment problem with 1 riskfree asset (with return rf ) and N risky assets (N2 ). We let wP,wQ be any two portfolios lies on frontier curve. Without using the explicit formula of minimum variance portfolio, show that any portfolio w on the frontier curve can be expressed as w=wP+(1)wQ, where is some real number. b) We consider an investment problem with 1 riskfree asset and N risky assets (N2). The following table shows the expected return and variance of portfolic return of 4 portfolios: You are also given that - the return rate of riskfree asset is rf=0.07 and - at least one of the portfolios is efficient. (i) Which of the portfolio(s) is efficient? Explain your answer. (-) Hint: You may consider the feasible region.) (ii) Find the minimum variance portfolio with expected return at least 0.11 . Express your answer in terms of wf (riskfree asset) and wA,wB,wC,wD