Question: A B Consider the following statistics for a portfolio composed of shares of companies A and B 1 2 3 Average return 4 Variance

A B Consider the following statistics for a portfolio composed of shares of companies A and B 1 2 3 Average return 4 Variance 5 Sigma 6 Company Astock Company Bstock 15% 10% 0.12 34.64% 0.07 26.46% 0.0160 0.1746 7 Covariance of returns 8 Correlation of returns 9 10 Portfolio combination #1 11 Proportion of A 30% 12 Proportion of B 70.00% 11.50% 22.76% D 13 Portfolio average return 14 Portfolio standard deviation 15 16 17 18 Part A. Suggest a portfoli combination that improves return while maintaining the same level of risk as the Portfolio combination #1 Proportion of A Proportion of B 19 Portfolio average return 20 Portfolio standard deviation 21 22 23 24 Part B. Calculate the minimum variance portfolio for the portfolio composed of the two assets described above. Proportion of A Proportion of B 25 Portfolio average return 26 Portfolio standard deviation 27 28 Part C. How to construct an efficient protfolio that has an expected return of 14.82% 29 30 Proportion of A Proportion of B 31 Portfolio average return 32 33

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