Consider the expected return and standard deviation of the two assets Consider the expected return and standard deviation of the following two assets:

Asset $1$: E$[$r$1]=0\mathrm{.}1$ and $1=0\mathrm{.}2$

Asset $2$: E$[$r$2]=0\mathrm{.}3$ and $2=0\mathrm{.}4$

$($a$)$ Each portfolio $($a$1,$ a$2)$ has its expected $($mean$)$ return and variance. Choose ten

different portfolios and draw $($e$.$g$.$ with Excel$)$ the set of portfolios in mean$-$standard

deviation space for the cases: $($i$)12=1,($ii$)12=0.[4$p$]$

$($b$)$ Suppose $12=1.$ Which portfolio has the minimal variance? What is the variance and

expected return of that portfolio? $[6$