An investor can construct a portfolio using only two assets A and B. The statistical properties of the two assets are shown below

Expected return for A - 12%

Variance of return - 30 %

Expected return for B- 8%

Variance of return for B- 15%

Correlation coefficient between the returns of assets A and B is 0.5 Required :

Assuming that the investor cannot borrow to make the investment a) Determine the portfolio composition which will give the highest expected return

b) Calculate the portfolio composition which will give the investor the minimum variance. c) Explain and sketch how the investor would choose a utility maximizing portfolio.