1. Consider n risky securities with expected returns 71, 72, , Tn. Let r = (T1, T2,...,Tn)' be the column vector of expected returns, r be the risk-free rate, e be an n 1 vector of ones, b = r-rfe be the vector of expected excess returns, and V denote the variance- covariance matrix. For any portfolio p, let qp = b'p denote the expected excess return of portfolio , let o = V denote the variance of the return of portfolio p, and let Sp denote the Sharpe ratio of portfolio Tp. Finally, for any two portfolios p and Ts, let Ops = TVs denote the covariance between the returns of these portfolios. Let = V-e Te = and b = V-6 e'V-6 e'V-e Assume that be. Let K = Consider the portfolio 9b qp 9pge Te t -b. 9b qe 9b qe Show that o = 0+k(ap-ge). [15 marks] 0. -0 (9b-qe)2. p = 1. Consider n risky securities with expected returns 71, 72, , Tn. Let r = (T1, T2,...,Tn)' be the column vector of expected returns, r be the risk-free rate, e be an n 1 vector of ones, b = r-rfe be the vector of expected excess returns, and V denote the variance- covariance matrix. For any portfolio p, let qp = b'p denote the expected excess return of portfolio , let o = V denote the variance of the return of portfolio p, and let Sp denote the Sharpe ratio of portfolio Tp. Finally, for any two portfolios p and Ts, let Ops = TVs denote the covariance between the returns of these portfolios. Let = V-e Te = and b = V-6 e'V-6 e'V-e Assume that be. Let K = Consider the portfolio 9b qp 9pge Te t -b. 9b qe 9b qe Show that o = 0+k(ap-ge). [15 marks] 0. -0 (9b-qe)2. p =