5. [Total: 20 marks] A portfolio manager creates the following portfolio: Security Expected Annual Return % Annual Standard Deviation % Si 16% 20% S2 12% 10% (a) [8 marks) If you form a portfolio with 50% for each of Security 1 and Security 2. Calculate the portfolio return and the risks if the correlation of returns between the two securities are 1, 0 and -1. Compare the risks of the portfolio with different correlations and explain the results. (b) (5 marks) Assume the correlation of the two securities' returns is -0.5. Calculate the expected return and standard deviation of the minimum variance portfolio. (c) (4 marks) If the portfolio has an expected return of 15% and the correlation of the returns are same as in (b), find the weight of this portfolio. (d) [3 marks) If we target the risk at 18% and the correlation of the returns are same as in (b), find the weights of this portfolio and the expected return of this portfolio