Problem 3. Portfolio statistics, efficient frontier, and minimum variance portfolio ABC and XYZ are two stocks with the following return statistics Expected Standard deviation of return return ABC XYZ Covariance(ABC,XYZ) Correlation(ABC,XYZ) 15% 25% 0.0865 0.5698 33% Problem 3.1: Compute the expected return and standard deviation of a portfolio composed of 25% ABC and 75% XYZ. Portfolio allocation Percentage ABC Percentage XYZ 25.00% 75.00% Expected return Standard deviation Problem 3.2: Compute the return and standard deviation of all portfolios that are combinations of ABC and XYZ with the proportion of ABC being 0%, 10% ,90%, 100% Expected Standard deviation Percentage of ABOC of return return 096 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% Problem 3.3: Find the minimum variance portfolio Minimum variance porttolio: Proportion of ABC Proportion of XYZ Expected return Standard deviation Problem 3. Portfolio statistics, efficient frontier, and minimum variance portfolio ABC and XYZ are two stocks with the following return statistics Expected Standard deviation of return return ABC XYZ Covariance(ABC,XYZ) Correlation(ABC,XYZ) 15% 25% 0.0865 0.5698 33% Problem 3.1: Compute the expected return and standard deviation of a portfolio composed of 25% ABC and 75% XYZ. Portfolio allocation Percentage ABC Percentage XYZ 25.00% 75.00% Expected return Standard deviation Problem 3.2: Compute the return and standard deviation of all portfolios that are combinations of ABC and XYZ with the proportion of ABC being 0%, 10% ,90%, 100% Expected Standard deviation Percentage of ABOC of return return 096 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% Problem 3.3: Find the minimum variance portfolio Minimum variance porttolio: Proportion of ABC Proportion of XYZ Expected return Standard deviation