Suppose assets C and D have expected returns and standard deviations as follows:

Asset Expected Return

$($E$($R$))$

Standard Deviation

$(\backslash$sigma $)$

C $12\%10\%$

D $8\%8\%$

The returns of the two securities have a correlation of $0\mathrm{.}5.$

a$)$ What is the expected return and standard deviation of a portfolio with equal

weights in each security?

b$)$ What is the composition of the minimum variance portfolio and what is the

expected return and standard deviation of this portfolio?

c$)$ What are the Sharpe ratios of the equal weighted portfolio and the minimum

variance portfolios, assuming a risk free rate of $3\%?$