(See BKM Chapter 7.2, Equations 7.2 and 7.7 for this question). Stock A's expected return and standard deviation are E[rA] = 8% and A= 15%, while stock B's expected return and standard deviation are E[rB] = 12% and B= 21%.

a) Determine the expected return and standard deviation of the return on a portfolio with weights A=.35 and B=.65 for the following alternative values of correlation between A and B: AB=0.6 and AB= -0.4. b) Assume now that AB=-1.0 and find the portfolio p of stocks A and B that has no risk (i.e. such that p=0). Can you do the same when AB=1.0? If not, why? If so, find that portfolio. c) Assume that AB=0. Find the standard deviations of portfolios with the following expected returns: 8%, 9%, 10%, 11%, 12%, 13%, 14% and 15%. Plot the expected returnstandard deviation pairs on a graph (with the standard deviations on the horizontal axis, and the expected returns on the vertical axis).