Your investment portfolio consists of $$20,000$ invested in only one stock$-$Microsoft. Suppose the risk$-$free rate is $4\%,$

Microsoft stock has an expected return of $13\%$ and a volatility of $37\%,$ and the market portfolio has an expected return

of $8\%$ and a volatility of $16\%.$ Under the CAPM assumptions,

a$.$ What alternative investment has the lowest possible volatility while having the same expected return as Microsoft?

What is the volatility of this investment?

b$.$ What investment has the highest possible expected return while having the same volatility as Microsoft? What is

the expected return of this investment?

a$.$ What alternative investment has the lowest possible volatility while having the same expected return as Microsoft?

To create an alternative investment that has the lowest possible volatility while having the same expected return

as Microsoft, we use the following strategy:

Sell: $,$$ worth of Microsoft stock.

Borrow: $ at the risk$-$free rate.

Buy: $ worth of the market portfolio.

Buy: $ worth of the risk$-$free investment.

$($Do not round until the final answer. Then round to the nearest dollar.$)$