1. An investor would like to create a portfolio with a mixture of investment X, Y and Z. He invest 20% in X, 30% in Y, 50% in Z. Data of the three investments are provided as follow: Investment X: Risk-free asset; 6% return Investment Y: Risky asset; 15% return, 25% volatility Investment Z: Risky asset; 12% return, 20% volatility Using the formula U = E(r) Aounless otherwise stated. Given that the correlation coefficient between the return from Y and Z is 0.8. Answer both question 1 and 2 with these information. (a) (3 points) Write down the expected return and the volatility of the portfolio. (b) (1 point) If the investor does not care about volatility, what is the utility value he obtain from this portfolio he formed? (c) (2 points) If the investor is very risk averse (i.e. A = 2021), do you think this portfolio maximize his utility? Explain. 1. An investor would like to create a portfolio with a mixture of investment X, Y and Z. He invest 20% in X, 30% in Y, 50% in Z. Data of the three investments are provided as follow: Investment X: Risk-free asset; 6% return Investment Y: Risky asset; 15% return, 25% volatility Investment Z: Risky asset; 12% return, 20% volatility Using the formula U = E(r) Aounless otherwise stated. Given that the correlation coefficient between the return from Y and Z is 0.8. Answer both question 1 and 2 with these information. (a) (3 points) Write down the expected return and the volatility of the portfolio. (b) (1 point) If the investor does not care about volatility, what is the utility value he obtain from this portfolio he formed? (c) (2 points) If the investor is very risk averse (i.e. A = 2021), do you think this portfolio maximize his utility? Explain