Question: The table below provides the possible returns for two securities - Zamrud and Zaitun: Scenario I || Probability 0.6 0.4 Zamrud Zaitun -4% 12%

The table below provides the possible returns for two securities - Zamrud and Zaitun: Scenario I || Probability 0.6 0.4 Zamrud Zaitun -4% 12% 15% -6% (a) If you are considering investing RM45,500 in Zamrud, and RM19,500 in Zaitun, what are the securities' portfolio weights? (2 marks) (b) What are the possible returns for your investment portfolio under scenarios I and II? (3 marks) (c) What are the expected return and standard deviation of returns for your investment portfolio? (5 marks) (d) If your investment portfolio's beta is 0.06, the risk-free interest rate is 3.5%, and the market risk premium is 6%, what is the portfolio's required rate of return? (2 marks) (e) What should the beta of the investment portfolio be, if you wish to invest in it? Explain briefly. (3 marks)

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