Question 7 As an asset manager working for Bits & Coins you were asked to create a portfolio containing two securities, namely Abha and Beta The securities have a correlation coefficient of 0.6 with each other and, based on historical data the average annual return of Alpha and Beta in the past years has been, respectively. 7% pa. and 10% pa. As for risk, the standard deviation of Alpha in the sample analysed was 10% pa whereas for Beta it was instead 15% pa Assume that the risk-free rate is 2% pa al What should be the allocation of Alpha in the optimal risky portfolio? (3 marks] bi What is the expected return and standard deviation of the optimal risky portfolio? (3 marks) d if the optimal complete portfolio of an investor has an allocation of 10% in the risk-free asset what would be the investor's coefficient of risk aversion? [2 marks]