Question: 1. Consider two assets A and B for which return distributions can be summarized as follows Er 0 Asset A 3% 1% 0 Asset B

1. Consider two assets A and B for which return distributions can be summarized as follows Er 0 Asset A 3% 1% 0 Asset B 7% 2% PU a. Fin the weights of the minimum variance efficient (MVE) portfolio composed of these two stocks? (Hint: Use the calculus to minimize Op). b. Find the expected return and the standard deviation of this portfolio. c. Is the risk of the minimum risk portfolio below that of every constituent asset? What is the expected ROR on the minimum risk portfolio? d. Assume that the risk free rate is 1%. Find the weights of the tangency portfolio. This is the portfolio with the maximum Sharpe ratio. Erol-r Sharpe Ratio Opl e. Find the expected return and the standard deviation of this portfolio. Il nu

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