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1. The following questions are based on the three assets in the Table below. [Total: 25] (a) Provide the NINE values that are missing in the Table. [4] (b) An asset manager builds a portfolio with the risk-free asset and asset A. The target return is 15%. Find the capital weights of the two assets and volatility of this portfolio. [8] (c) An asset manager applies utility maximization to construct portfolios. Describe key features of the exponential utility function U(W)=1eW, where W is the wealth and >0 is the risk aversion factor. [5] (d) To build a portfolio of asset A and asset B based on the exponential utility function, the asset manager determines =1 and the initial capital is W0=100. Evaluate the capital weights of these two assets. Note: the probability density function of normal distribution N(,2) is (x)=221exp(22(x)2) 1. The following questions are based on the three assets in the Table below. [Total: 25] (a) Provide the NINE values that are missing in the Table. [4] (b) An asset manager builds a portfolio with the risk-free asset and asset A. The target return is 15%. Find the capital weights of the two assets and volatility of this portfolio. [8] (c) An asset manager applies utility maximization to construct portfolios. Describe key features of the exponential utility function U(W)=1eW, where W is the wealth and >0 is the risk aversion factor. [5] (d) To build a portfolio of asset A and asset B based on the exponential utility function, the asset manager determines =1 and the initial capital is W0=100. Evaluate the capital weights of these two assets. Note: the probability density function of normal distribution N(,2) is (x)=221exp(22(x)2)

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