You are a portfolio manager attempting to construct an optimal risky portfolio for your clients. You have at your disposal the iShares Core US Bond Index ETF (AGG), the SPDR S&P 500 ETF (SPY), and a portfolio of t-bills that are yielding 1% annually. Ticker E(r) r Correlation (SP Y,AGG) SPY 9.50% 19.50% 0.103 AGG 4.40% 5.15% Please answer the following: a. Please tabulate and draw on the graph below the minimum variance frontier using SPY and AGG. Use allocations ranging from wSP Y = 0% to wSP Y = 100%, in increments of 10%. Remember the wSP Y + wAGG = 1 at all times. You will use this graph throughout the remainder of the handout. E(r) Construct the allocation table here. FIN 3160 - Investments - Efficient Portfolio 2 b. Please compute wSP Y , wAGG, E(rP ), rP , and Sharpe Ratio of the optimal portfolio constructed using SPY and AGG. (Show your work) c. Give the formula of the best feasible Capital Allocation Line (CAL) and plot it on the graph you constructed in part a. Be sure to label all intercepts and intersections with the efficient frontier. d. If you require that your overall complete portfolio have an expected return of 4%, what are the allocation percentages to SPY, AGG, and t-bills for your complete portfolio.