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SECTION A-COMPULSORY QUESTION 1 [40 Marks] (a) Consider the following information about two stocks, A and B Expected return Standard Deviation Stock A 27% 7% B 32% 9% The correlation between the two securities returns is 0.11. Portfolio Portfolio Proportions (%) ABC XYZ 1 45 55 2 60 40 3 0 100 Required: Calculate the expected return and standard deviation of the following three portfolios. [2+2+2+6+6+6 = 24 Marks] (b) Differentiate between Systematic and Unsystematic risk. Briefly deseribe the lavestment Process. [6 Marks] [10 Marks]