SHOW YOUR WORK, DO NOT USE EXCEL

Consider a portfolio consisting of the following two assets: Stock A has E[RA] = 10% and = 20% Stock B has E[RB] = 20% and = 40% Calculate the expected return and standard deviation of the portfolio under the four following sets of assumptions:

(a) wA = 1/2 and wB = 1/2 and = 0

(b) wA = 1/2 and wB = 1/2 and = -1 (c) wA = 2/3 and wB = 1/3 and = 0

(d) wA = 2/3 and wB = 1/3 and = -1