Question: Suppose that there exist two securities (X and Y) with an annual expected return equal to x = 8% and ry = 5% and a

Suppose that there exist two securities (X and Y) with an annual expected return equal to x = 8% and ry = 5% and a standard deviation equal to Ox = 9% and Oy= 6%, respectively. The correlation coefficient between the returns of these securities is p=-0.8. 3.1 What is the expected return, the variance and the standard deviation of an equally weighted portfolio consisting of the securities X and Y? Describe every step of your calculations in detail. (20%) 3.2 What is the expected return of a portfolio consisting of the securities X and Y. if the weights of the corresponding securities are chosen to minimize the risk of the portfolio? Describe every step of your calculations in detail. (20%) 3.3 Discuss and critically evaluate the role of the correlation coefficient in the determination of the portfolio risk-return profile? (10%)

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