(Portfolio statistics, efficient frontier, and minimum variance portfolio) ABC and XYZ are two stocks with the following return statistics:

a. Compute the expected return and standard deviation of a portfolio composed of 25% ABC and 75% XYZ.

b. Compute the returns of all portfolios that are combinations of ABC and XYZ with the proportion of ABC being 0%, 10%, . . . , 90%, 100%. Graph these returns.

c. Compute the minimum variance portfolio.

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A B Expected return Standard deviation of return 1 2 ABC 3 XYZ 4 Covariance(ABC,XYZ) 5 Correlation (ABC,XYZ) 15% 25% 0.0865 0.5698