a. Compute the weights for the minimum variance efficient (MVE) portfolio, consisting of funds A and B. You can use Solver to answer this question, but you need to explain in details, which problem your Solver actually solves. Alternatively, you can simply use calculus. i. Write down your objective function with numbers plugged in. ii. What are you doing with this function? iii. What variable(s) can you choose? iv. Do you have any constraints? Write them down.

b. What is the expected return and standard deviation of MVE portfolio?

You want to invest in two exchange-traded funds: Fund A, which tracks S&P 500 inde:x and Fund B, consisting of stocks related to gold. The summary statistics for these funds are shown in the table below: Fund A Fund B Expected Return 10% 8% Standard Deviation 18% 9% The Correlation coefficient between returns on these two funds is 0.1