65. Question A fund manager, who has recently obtained a modest sum of new capital, intends to allocate this capital into a current fund that is indexed to a benchmark. Instead of investing in a new asset to be added to the fund, the manager is considering increasing the investment in one of the fund's four existing assets. Details about these assets and their performance during the latest evaluation period are provided below:

Asset	Portfolio weight	Return	Volatility of return	Beta to the portfolio
BDE	0.35	14%	19%	1.20
JKL	0.30	13%	18%	0.90
MNO	0.25	13%	16%	1.00
STU	0.10	10%	10%	0.80

The fund manager is looking to choose the asset with the lowest marginal Value at Risk (VaR), provided that its Jensen's alpha is at least equal to the market's risk premium. Assume a risk-free interest rate of 3% and a market return of 8%. Which asset should the fund manager opt for?