1.You currently have 50% of your wealth in a risk free asset and 50% in the four assets below:

EXPECTED RETURN

Percentage Invested in

ASSET

ASSET i(%)

Asset i(%)

.i = 1

7.6

10

.i = 2

12.4

10

.i = 3

15.6

10

.i = 4

18.8

20

If you want an expected rate of return of 12% you can obtain it by selling some of your holding of the risk free asset and using the proceeds to buy the equally weighted market portfolio. If this is the way you decide to revise your portfolio, what will the set of weights in

Your portfolio be? If you hold only the risk free asset and the market portfolio, what set of weights would give you an expected 20% return?