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Expected returns, standard deviations, and correlations (p) of three risky assets are as follows: Expected...

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Expected returns, standard deviations, and correlations (p) of three risky assets are as follows: Expected Return Standard Deviation A A 11.0% 14.5% 9.0% B Correlations (p) B 1.00 0.30 0.15 0.30 1.00 0.45 0.15 0.45 1.00 30.0% 45.0% 30.0% a) (10 marks) Calculate the expected return, standard deviation, and Sharpe ratio of a portfolio of stocks A, B, and C. Assume an equal investment in each stock. The risk-free interest rate is 5%. b) (10 marks) Assume a portfolio of Assets B and C. Determine the weight in Asset B, such that the total portfolio risk is minimised. What is the expected return on the minimum variance portfolio

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