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Exercise 5. Suppose the only tow risky assets in the market, A and B, have the following distribution of returns: A 8% Expected Annual Return Std of the Annual Return Correlation coefficient B 14% 4% 8% (-1) a) Sketch all the possible portfolios (of A and B) in the plane of Expected annual return and Std of the annual return. b) Indicate in you sketch which portfolio is the global minimum-variance portfolio, and calculate the proportions of assets A and B in that portfolio. c) Calculate the expected return and the Std. of the return of the minimum-variance portfolio. d) Calculate the expected return and standard deviation of the portfolio p (XA=0.7; Xp=0.3). Is this portfolio mean-variance efficient? Exercise 5. Suppose the only tow risky assets in the market, A and B, have the following distribution of returns: A 8% Expected Annual Return Std of the Annual Return Correlation coefficient B 14% 4% 8% (-1) a) Sketch all the possible portfolios (of A and B) in the plane of Expected annual return and Std of the annual return. b) Indicate in you sketch which portfolio is the global minimum-variance portfolio, and calculate the proportions of assets A and B in that portfolio. c) Calculate the expected return and the Std. of the return of the minimum-variance portfolio. d) Calculate the expected return and standard deviation of the portfolio p (XA=0.7; Xp=0.3). Is this portfolio mean-variance efficient

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