1, The expected return of Security I (4 DP)

2, The expected return of Security J (4 DP)

3, The SD for Security I (4 DP)

4, The SD for Security j (4 DP)

5, The Correlation (Rho) between Security i and Security j: (4 DP: e.g.: 0.1234)

6, The Expected Return for the Minimum Variance Portfolio (M*)

7, The Standard Deviation of the Minimum Variance Portfolio (M*)

8, The Weight of Security i in the Optimal Portfolio (P*) (4 DP: e.g.: 0.1234)

9, The Weight of Security j in the Optimal Portfolio (P*) (4 DP: e.g.: 0.1234)

10, The Expected Return of the Optimal Portfolio (P*) (4 DP: e.g.: 0.1234)

You are given the following information on the future states of the economy and returns for 2 risky securities i and j. Assume that the Risk-Free rate of interest is 2.0% per year. Scenario Probability Very Good 25.00% Return for Security Return for Security i j -20.00% 5.00% 10.00% 20.00% 30.00% -12.00% Good 25.00% 25.00% Average Poor 25.00% 50.00% 9.00% Compute the following items