Question: Problem 7 16 marks) You have two available risky assets to invest in: Asset A and Asset B. Asset A has an expected return of

Problem 7 16 marks) You have two available risky assets to invest in: Asset A and Asset B. Asset A has an expected return of 18% and a standard deviation of 35%; Asset B has an expected return of 1 0% and a standard deviation of 20%. You are asked to create the minimum variance portfolio. Assume that assets A and B are perfectly negatively correlated. a) What ar b) What is the expected return of your portfolio? (2 marks) c) What is the standard deviation of your portfolio? (2 marks)

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