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5. Different people have different risk preferences. Your friend is a person who does not...

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5. Different people have different risk preferences. Your friend is a person who does not like risk much. She however is interested in investing in a portfolio with minimum amount of risk. Consequently, she is thinking about investing in a minimum-variance portfolio. She has access to two risky assets (Asset A and Asset B). Expected return of Asset A is 20% and standard deviation is 20%. Expected return of Asset B is 10% and standard deviation is 15%. The correlation coefficient between the two assets is zero. Determine the expected return and standard deviation of her minimum variance portfolio. (9 Points)

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