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2. [a]. Security l is expected to generate a return of 18% with a standard deviation of 0.45 over the next year. For the same period, security 2 is expected to return 21% with a variance of 360090 negative it has the minimum possible risk as measure $16 million to invest. How much would she invest in each security? Work out the expected return on and the variance of the returns on the risk-minimizing portfolio. What is the expected value of her portfolio next year? %. The correlation between the returns on the two securities is one-eighth. Investor A wants to form a portfolio of these two securities such that d by the portfolio standard deviation. She has [b]. Security l is expected to generate a return of 21% with a variance of 0.2304 4% with a over the next year. For the same period, security 2 is expected to return 2 standard deviation of 69%. Investor B holds a risk-minimizing portfolio of $3.2 million allocated between these two securities. Of that total, the amount allocated to Security 2 is $1 million. Work out the covariance and the correlation between the returns on the two securities. Also compute the expected return on and the variance of the returns on the risk-minimizing portfolio. What is the expected value of the portfolio next year? [c]: Security l is expected to generate a return of 19% with a variance of 576%% r the next year. For the same period, security 2 is expected to return 39% with a standard deviation of 0.7 allocated between these two securities. She expects the value of her portfolio next y be $847,000. Work out the covariance and the correl securities. Also compute the fraction and the amount invested in either security, and th variance of the returns on the risk-minimizing portfolio. What is the standard deviation of the value of the portfolio next year? 2. Investor C holds a risk-minimizing portfolio of $700,000 ear to ation between the returns on the two

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