Security Z Security Y Expected Return 9% 22% Standard Deviation 25% 35% Correlation between the returns is 2. (a) Calculate the expected return and standard deviation of the return for the fol- lowing portfolios: i. 110% in Z and -10% in Y. ii. 100% in Z and 0% in Y. iii. 75% in Z and 25% in Y. iv. 50% in Z and 50% in Y. v. 25% in Z and 75% in Y. vi. 15% in Z and 85% in Y. vii. 0 % in Z and 100% in Y. viii. -25% in Z and 125% in Y. Feel free to use a spreadsheet for this calculation and just report the two values per portfolio (b) Sketch the investment opportunity set with assets Z and Y. (c) Mark the three regions in which the share in security Z is negative, between 0 and 1, and bigger than 1. Indicate the minimum variance portfolio (MVP) and the efficient frontier