Questions 5 to 9 use material presented in Teaching Note 5: Introduction to Portfolio Mathematics. Please read through this teaching note before starting this problem set.

5. Suppose you have $100MM to invest. You invest $80MM in Stock A and put the rest in risk-free Treasury Bills. Suppose the rate on Treasury Bills is 5% per year (EAY). a) Suppose the stock has a return of -4% over the coming year, what will be the return of your portfolio? b) Suppose the stocks return over the coming year has a variance of 30%. What is the standard deviation of the return of your portfolio? c) Suppose the expected return of the stock over the coming year is 12%. What is the expected return of your portfolio?