The correlation $ho$ between assets A and B is .1, and other data are given in Table 6.3. [$ho=\sigma_{\mathrm{AB}} /\left(\sigma_{\mathrm{A}} \sigma_{\mathrm{B}}\right)$.]

(a) Find the proportions $\alpha$ of $\mathrm{A}$ and $(1-\alpha)$ of $\mathrm{B}$ that define a portfolio of $\mathrm{A}$ and $\mathrm{B}$ having minimum standard deviation.

(b) What is the value of this minimum standard deviation?

(c) What is the expected return of this portfolio?

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TABLE 6.3 TWO CORRELATED CASES Asset F AB 10.0% 15% 18.0% 30%