Please answer the following questions on the attached excel file, and answer each question on a separate sheet. Thanks!

6. What is the optimal risky portfolio if the risk-free rate is 3% per year? In particular, please report weights as well as expected return and standard deviation of the optimal risky portfolio. What is the maximum attainable slope of the CAL? (Hint: make sure interest rates refer to the same time period.)

7. Redo question 6 assuming no short sales.

8. Assuming that the risk-free rate is 3% per year and that short sales are not allowed,

(a) what is the lowest standard deviation you can attain for a portfolio with the same expected return as your original portfolio ?

(b) what is the highest expected return you can attain for a portfolio with the same standard deviation as your original portfolio ?

Please report weights as well as expected returns and standard deviations of these two portfolios.