Question: Font Paragraph Styles Question 3 (1) Consider two perfectly negatively correlated risky securities A and B. A has an expected rate of return of 12%

Font Paragraph Styles Question 3 (1) Consider two perfectly negatively correlated

Font Paragraph Styles Question 3 (1) Consider two perfectly negatively correlated risky securities A and B. A has an expected rate of return of 12% and a standard deviation of 17%. B has an expected rate of return of 9% and a standard deviation of 14%. What are the weights of A and B in the minimum variance portfolio What's the return for the risk-free portfolio? (8 Marks) (2) Your client, Mr Bo holds a complete portfolio that consists of a portfolio of risky assets (P) and T-Bills. The information below refers to these assets. E(R) Standard Deviation of P T-Bill rate 12.00. 7.20. 3.60 Proportion of Complete Portfolio in P Proportion of Complete Portfolio in T-Bills 80. 20. Composition of P: Stock A Stock B Stock C Total 40.00. 25.00%. 35.00. 100.00 (a) What is the expected return and the standard deviation of Bo's complete portfolio? (4 Marks) (b) What are the proportions of Stocks A, B, and C, respectively in Bo's complete portfolio? (3 Marks) stralia)

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