Use the following information about two stocks $($Squid Canneries Ltd $-$ SCL$,$ The Android's Dungeon $-$ TAD$),$ T$-$Bill, market portfolio, and Dr$.$ Nick Riviera's portfolio to answer questions $13-17$ below:

Asset Price per share$($$$)$ Expected return Variance Covariance with rm

SCL $7523\%0\mathrm{.}08410\mathrm{.}06912$

TAD $2511\%0\mathrm{.}09000\mathrm{.}02304$

T$-$Bill $5\%0\mathrm{.}00000\mathrm{.}00000$

Market $21\%0\mathrm{.}05760\mathrm{.}05760$

Dr$.$ Nick Riviera's portfolio: he owns $1,000$ shares of SCL$,$ $$50,000($market value$)$ of T$-$Bills, and he has sold short $1,000$ shares of TAD.

$($d$)$ Construct the optimal portfolio under the CAPM for Dr$.$ Nick with the same variance as his current portfolio. hint: what is the optimal behavior of investors according to the CAPM?

Group of answer choices

The weight of market portfolio is $0\mathrm{.}576$

The weight of market portfolio is $0\mathrm{.}841$

The weight of market portfolio is $0\mathrm{.}959$