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 15% 33% XYZ 25% 46% Covariance(ABC.XYZ) 0.0865 Correlation(ABC XYZ) 0.5698 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 return Standard deviation of return Percentage of ABC 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% Problem 3.3: Find the minimum variance portfolio. Minimum variance portfolio: 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 15% 33% XYZ 25% 46% Covariance(ABC.XYZ) 0.0865 Correlation(ABC XYZ) 0.5698 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 return Standard deviation of return Percentage of ABC 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% Problem 3.3: Find the minimum variance portfolio. Minimum variance portfolio: Proportion of ABC Proportion of XYZ Expected return Standard deviation