Suppose Asset A has an expected return of 10 percent and a standard deviation of 20 percent. Asset B has an expected return of 16 percent and a standard deviation of 40 percent. Also assume the correlation between A and B is equal to 0.35. Assume asset A and asset B are combined into a portfolio with the weight in asset A ranging between 0 and 1 in increments of 0.10.
A) Calculate the weight of portfolio B, the expected portfolio return, and the portfolio standard deviation for each portfolio allocation (10 points)
B) Plot the attainable portfolios with Expected return on the y-axis and Risk on the X-axis. Be sure to label the axes with titles and include a chart title (10 Points)
Now assume the correlation between A and B is equal to 1. Assume asset A and asset B are combined into a portfolio with the weight in asset A ranging between 0 and 1 in increments of 0.10.
C) Calculate the weight of portfolio B, the expected portfolio return, and the portfolio standard
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Be sure to label the axes with titles and include a chart title (10 Points) Now assume the correlation between A and B is equal to -1. Assume asset A and asset B are combined into a portfolio with the weight in asset A ranging between 0 and 1 in increments of 0.10. E) Calculate the weight of portfolio B, the expected portfolio return, and the portfolio standard deviation for each portfolio allocation (10 points) F) Plot the attainable portfolios with Expected return on the y-axis and Risk on the X-axis. Be sure to label the axes with titles and include a chart title (10 Points) In your report, identify which of the portfolios are not part of the efficient set when the correlation is equal to -1, and explain why they do not belong in the efficient

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