Question: Problem 2: Consider the information in Problem 1 and your previous answers. Suppose you want to construct a portfolio P that consists of A, B,

Problem 2: Consider the information in Problem 1 and your previous answers. Suppose you want to construct a portfolio P that consists of A, B, and the risk free assets with the following weights: Characterize this portfolio, i.e., find the expected return and the beta of this portfolio. Now, suppose you want to achieve an expected return that is higher than the one obtained from P by 2%. Your strategy is to sell some of the risk free asset and use the proceeds to buy the market. Characterize this new portfolio, i.e., report the expected return, beta, and the weights of the assets forming this new portfolio.

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