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QUESTION 3 a) You are considering to construct an optimal portfolio for your company based on the following data that provided by Bursa Securities Berhad. Justify your answer based on Simple Sharp Portfolio Optimization Approach. Residual Variance Beta 1.1 0.3 Expected Return 12 14 7 Security MWE Holding Golden Paros Maxbiz Corp NTMP Holding UPA Corp Silver Bird 2 3 0.5 0.1 10 11 1 0.5 8 7 4 1 Note that: Market Variance = 40%, Treasury Bill Rate = 5%, Risk Penalty = 10% (14 marks) b) As a new security officer at Yun Yun Securities Berhad, compute the Sharpe and Treynor Index for Portfolio X, Y and market based on the following information. Portfolio Y Standard Deviation 0.40 0.22 Beta 1.1 0.2 Observed Return 0.35 0.69 Given that the return on market portfolio is 0.31, Treasury bills rate is 0.02 and standard deviation of the market portfolio is 0.40 (6 marks) QUESTION 3 a) You are considering to construct an optimal portfolio for your company based on the following data that provided by Bursa Securities Berhad. Justify your answer based on Simple Sharp Portfolio Optimization Approach. Residual Variance Beta 1.1 0.3 Expected Return 12 14 7 Security MWE Holding Golden Paros Maxbiz Corp NTMP Holding UPA Corp Silver Bird 2 3 0.5 0.1 10 11 1 0.5 8 7 4 1 Note that: Market Variance = 40%, Treasury Bill Rate = 5%, Risk Penalty = 10% (14 marks) b) As a new security officer at Yun Yun Securities Berhad, compute the Sharpe and Treynor Index for Portfolio X, Y and market based on the following information. Portfolio Y Standard Deviation 0.40 0.22 Beta 1.1 0.2 Observed Return 0.35 0.69 Given that the return on market portfolio is 0.31, Treasury bills rate is 0.02 and standard deviation of the market portfolio is 0.40 (6 marks)