I am able to do part (a) & (b). Stuck at part (c) & (d) as cannot find in the notes for comparing two portfolios.

Anybody able to help in part (c) and (d) with workings. Very much appreciated and thanks.

Question:

Consider two assets with expected return E(r₁)=0.3, E(r₂)=0.6; with variances ₁²=0.1, ₂²=0.25 and covariance ₁₂=0.15 .

You create two portfolios of the two assets as follows:

Portfolio A with weight vector W_A =(0.3, 0.7);

Portfolio B with weight vector W_B =(1.2, -0.2).

(Keep all your answers except (d) to 4 decimal places.)

(a) Find the expected rate of return of Portfolio A;

Answer: 0.5100

(b) Find the standard deviation of the rate of return of Portfolio A;

Answer: 0.4410

(c) Find the covariance between the rate of return of Portfolio A and that of Portfolio B. ___________

(d) Can you find another portfolio whose rate of return is uncorrelated with that of Portfolio A? (keyin 'Y' for Yes, 'N' for No.)

_________.