Question: A hedge fund has created a portfolio using just two stocks. It has shorted $35,000,000 worth of Oracle stock and has purchased $85,000,000 of Intel

A hedge fund has created a portfolio using just two stocks.

A hedge fund has created a portfolio using just two stocks. It has shorted $35,000,000 worth of Oracle stock and has purchased $85,000,000 of Intel stock. The correlation between Oracle's and Intel's returns is 0.65. The expected returns and standard deviations of the two stocks are given in the table below: Expected Return Standard Deviation 12.00% 45.00% Oracle Intel 14.50% 40.00% a) What are the expected return and standard deviation of the hedge fund's portfolio? b) Consider the portfolio in (a). Suppose the correlation between Intel and Oracle's stock increases but nothing else changes. Would the portfolio be more or less risky with this change? Briefly explain your

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