(c) Your client also recalls reading a while ago in the Ist edition of "Investments" by Sharpe and Alexander (Jeff Bailey at the time she went to school was not a coauthor of this book), that people should hold efficient portfolios, but she is unsure how to do it. She asks you for advice on how to optimally combine portfolios C and B in order to take advantage of diversification. You suggest her to invest in a mix of the portfolio A and a so called mean-variance efficient portfolio (MVEP) which is made up of portfolios B and C. Find this MVEP portfolio (i.e. find the weights on portfolio B and C that generate the MVEP). Use Excel's solver function to do this (feel free to use the Example Optimal CAL.xIs that is posted on the course webpage). What is the expected return, standard deviation and Sharpe ratio of the MVEP portfolio that you found? (d) Your client wants to keep the level of risk of her portfolio at the same level of portfolio C (i.e. standard deviation of 15%) but take advantage of diversification. If she invests $200,000 in A and MVEP, how much should she invest in portfolio A and how much in the MVEP ? How much in each of the portfolios B and C? What is the expected return on her portfolio in this case ? Compare it to the expected return on Pl obtained in part (B) and explain the difference, if any. (e) Suppose that now portfolio C has a standard deviation of 25% (the same as portfolio B, this is not a mistake), but the expected return on fund C is the same as before, only 10%. Would you still advise your client to hold portfolio C? If no, explain why. If yes, also explain why. Hint: find the new MVEP using Excel's solver and explain the result