1) (40 points; 10 points for each part) You are an active portfolio manager. You received the following information regarding the expected market excess returns, market variance, and the risk-free rate: Market: E(RM) = 0.12, o'M=0.16; rf= 0.02 You also received information regarding four candidate securities for your active portfolio A: Security ai Bi 0.06 1.10 0.60 2 0.03 0.90 0.50 -0.01 1.20 0.32 4 0.02 0.80 0.40 Your tasks are: la) Generate active portfolio A (report weights wAl, WAZ, WA3, and WA4) 1b) Calculate key parameters of portfolio A (report as , BA, GEA; RA, 624, COV(RA, RM)) 1c) Use the information regarding M, ry, and A to produce the parameters of the improved portfolio P (report WM , WA , E(rp), and op) 1d) Produce a simple graph that outlines the locations of M, A, and P in the E(r)-o plane