3. The return-risk statistics of a portfolio comprising two assets A1 and A2 are given in the table below. Assets Expected Returns, li Standard Deviations, O A1 0.20 0.15 A2 0.15 0.20 (a) Consider the minimally correlated case (P12 = -1). Derive expressions for the portfolio expected return Mp and risk Op for the global minimum variance portfolio. (2 marks) = (b) Derive an expression for the risk minimised portfolio corresponding to 3(a). Can this (risk minimised) portfolio be a candidate for short selling? (4 marks) (c) Derive the return-risk profile and then plot the phase diagram for this minimally correlated case. Identify the ideal investment zone for a con- servative investor. Explain your result by comparing with the risk min- imised state. (6 marks) (d) For the following, use the inputs from the table above. i. Derive an expression for portfolio risk Op as a function of the portfolio expected return pp for P12 :-0.5. (4 marks) ii. Comparing the two cases, P12 = -1 and 212 = -0.5, which of these will be preferred by an investor? Explain your result. (4 marks) 3. The return-risk statistics of a portfolio comprising two assets A1 and A2 are given in the table below. Assets Expected Returns, li Standard Deviations, O A1 0.20 0.15 A2 0.15 0.20 (a) Consider the minimally correlated case (P12 = -1). Derive expressions for the portfolio expected return Mp and risk Op for the global minimum variance portfolio. (2 marks) = (b) Derive an expression for the risk minimised portfolio corresponding to 3(a). Can this (risk minimised) portfolio be a candidate for short selling? (4 marks) (c) Derive the return-risk profile and then plot the phase diagram for this minimally correlated case. Identify the ideal investment zone for a con- servative investor. Explain your result by comparing with the risk min- imised state. (6 marks) (d) For the following, use the inputs from the table above. i. Derive an expression for portfolio risk Op as a function of the portfolio expected return pp for P12 :-0.5. (4 marks) ii. Comparing the two cases, P12 = -1 and 212 = -0.5, which of these will be preferred by an investor? Explain your result. (4 marks)