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1 (20 points 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: ECRM) 0.12, o M 0.16 r 0.02 You also received information regarding four candidate securities for your active portfolio A Security ai 0.04 1.10 0.10 0.03 0.90 0.40 -0.01 1.20 0.32 0.02 0.80 0.25 Your tasks are: la Generate active portfolio A (report weights wA1, wA2, wA3, and A4 lb) Generate key parameters of portfolio A (report au BA, o 2A RA, o A, co CRA, RMO) 1c) Use the information regarding M, ra and A to produce the parameters of the improved portfolio P (report win, wA E(rp, and op ld Produce a simple graph that outlines the locations of M, A, and Pin the E(r)-o plane. 1 (20 points 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: ECRM) 0.12, o M 0.16 r 0.02 You also received information regarding four candidate securities for your active portfolio A Security ai 0.04 1.10 0.10 0.03 0.90 0.40 -0.01 1.20 0.32 0.02 0.80 0.25 Your tasks are: la Generate active portfolio A (report weights wA1, wA2, wA3, and A4 lb) Generate key parameters of portfolio A (report au BA, o 2A RA, o A, co CRA, RMO) 1c) Use the information regarding M, ra and A to produce the parameters of the improved portfolio P (report win, wA E(rp, and op ld Produce a simple graph that outlines the locations of M, A, and Pin the E(r)-o plane