Question 1: Efficient Frontier (10 marks) You are employed as a research analyst and have been given five stocks to analyse. The five stocks are the BHP Group (ASX code BHP), Commonwealth Bank of Australia (CMA), Westpac Banking (ASX code WBC), Australia and New Zealand Banking Group (ANZ), and Rio Tinto (RIO). Daily dividend adjusted price data for these five stocks for the period January 2004 to December 2017 are provided in the Excel spreadsheet. The ASX200 index value and 10-year government bond rate (per annum) are also provided in this spreadsheet. Using the data provided, you are required to undertake the following: a) Use Microsoft Excel's Solver add-in to derive the efficient frontier of risky assets for a portfolio comprising the five stocks that you have been asked to analyse. When calculating expected returns, you should use the Capital Asset Pricing Model. The market consensus forecast for the expected market return is 12% per annum and the expected risk-free rate of interest is 6% per annum. (7 marks) b) Assume that your coefficient of risk aversion is 4. What is the combination of the optimal risky portfolio and risk-free asset that would maximise your utility (y = [ E (rp) - rf ] / A s2p)