Question: Stock A's expected return and standard deviation are E[RA] = 6% and GA= 12%, while stock B's expected return and standard deviation are E[R;] =

Stock A's expected return and standard deviation are E[RA] = 6% and GA= 12%, while stock B's expected return and standard deviation are E[R;] = 10% and OF= 20%. (a) How would you construct a portfolio with expected return of 8% using fund A and fund B? What is the standard deviation of the portfolio? (Assume PAB = 0.4) (b) How would you construct a portfolio with standard deviation of 15% using fund A and fund B? What is the expected return of the portfolio? (Assume PAs = 0.4)

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