1. Suppose your target expected rate of return is 11%.

a. What is the lowest-volatility portfolio that provides that expected return?

b. What is the standard deviation of that portfolio?

c. What is the composition of that portfolio?

Asset Allocation Analysis: Risk and Return
	Expected	Standard	Correlation
	Return	Deviation	Coefficient	Covariance
Security 1	0.08	0.12	0.3
Security 2	0.13	0.2
T-Bill	0.05	0
Weight	Weight		Expected	Standard	Reward to
Security 1	Security 2		Return	Deviation	Volatility
1	0
0.9	0.1
0.8	0.2
0.7	0.3
0.6	0.4