Question: Two assets A and B. Expected Return for A = 10%, for B = 30% Variance for A = 400% 2 B = 3600% 2

Two assets A and B.

Expected Return for A = 10%, for B = 30%

Variance for A = 400%2 B = 3600%2

Covariance between A and B = - 0.05

T-bill Return = 5%, SD = 0%

A = 5.0 (risk-aversion)

1. Correlation between A and B

2. Portfolio return, SD, GMVP, CAL

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