Question 1. There are N assets whose returns are jointly normally distributed. Portfolios A and B are frontier portfolios. The expected return, standard deviation and the correlation between the assets are: 0 PAN A 0.2 0.1 -0.25 B 0.3 0.2 i) Calculate expected return and variance of the minimum variance portfolio. Argue whether portfolio A is efficient or not. Calculate the variance of the efficient portfolio with an expected return of 0.25 Question 2. There are N assets whose returns are jointly normally distributed Portfolios A and B are frontier portfolios. The expected return, standard deviation and the correlation between the assets are: 0 PAN A 0.1 0.1 0 B 0.2 0.2 i) ii) Calculate expected return and variance of the minimum variance portfolio. Argue whether portfolio C, with Fe = 0.15 and oc = 0.1081 is an element of the feasible set or not