Consider the following two securities:

Security S: Expected Return is E(Rs)=13%. Standard deviation is s=20%.

Security B: Expected Return is E(RB)=8%. Standard deviation is B=12%.

Assume that the coefficient of correlation between the two securities is +1.

Obtain the Expected return and standard deviation of the following portfolios:

a) Portfolio A: 0% invested in S, 100% invested in B

b) Portfolio B: 20% invested in S, 80% invested in B

c) Portfolio C: 40% invested in S, 60% invested in B

d) Portfolio D: 60% invested in S, 40% invested in B

e) Portfolio E: 80% invested in S, 20% invested in B

f) Portfolio F: 100% invested in S, 0% invested in B

ScatterPlot these 6 portfolios in a graph where Standard Deviation is in the x-axis, and Expected Return in the y-axis. Which conclusions you derive?