Suppose there are two assets, a risk-free asset, and a market portfolio. The market portfolio has an expected return of mu m = E[Rm] = 15% and a standard deviation of sigma m = 15%. The return on the risk-free asset is Rf = 5%. You are an investment manager. After thinking about the risk-return tradeo , your client, Jim, decides to invest in a portfolio that would deliver an expected return of 10%. (a) With the two assets above (risk-free assets and market portfolio), how are you going to construct the portfolio for Jim? What is the standard deviation of this portfolio? 1 (b) What is the Sharpe ratio for the market portfolio? What is the Sharpe ratio of Jim's portfolio? (c) Plot the capital allocation line with the risk-free asset and the market portfolio. Mark the risk-free asset, market portfolio, and Jim's portfolio on the CAL. (d) Now suppose that the market portfolio includes only two risky assets, A and B. The weight of asset A in the market portfolio is 40%. Suppose Jim decides to invest $1 million in his portfolio. What are the dollar amount investments in asset A, asset B, and the risk-free asset, respectively?