The market has three assets. F A B E(r) 0.05 0.15 0.25 0 1 3 In addition, PAB = 0. (a) The investor constructs a portfolio 0.2 o F + 0.4 0 A + 0.4 o B. What are the expected return and the standard deviation of this portfolio? (b) The investor wants to identify the portfolio P* consisting of risky assets, such that by choosing a portfolio as a combination of P* and F, her preference level can be maximized. Write down the investor's objective function. Let the weight on security A bew. The objective function you write down must be in terms of w. Then, write down the first order condition to solve the portfolio P*. (Hint: you don't need to solve the first order condition.] The market has three assets. F A B E(r) 0.05 0.15 0.25 0 1 3 In addition, PAB = 0. (a) The investor constructs a portfolio 0.2 o F + 0.4 0 A + 0.4 o B. What are the expected return and the standard deviation of this portfolio? (b) The investor wants to identify the portfolio P* consisting of risky assets, such that by choosing a portfolio as a combination of P* and F, her preference level can be maximized. Write down the investor's objective function. Let the weight on security A bew. The objective function you write down must be in terms of w. Then, write down the first order condition to solve the portfolio P*. (Hint: you don't need to solve the first order condition.]