2) Assume an investment manager in ADIA has created a portfolio with the Stock A and Stock B Stock A has a risk of 20%, an expected return of 15% and a weight of 20% in the portfolio Stock B has nsk 15%, an expected return of 8% and a weight of 80% The constant " of the portfolio equals 0 01345 The correlation coefficient between the returns of the two stocks s- 0 345, The covariance between the portfolio returns and the market returns is 003456, and the nak of the market n 21% (a) What is the expected return of the portfolio? (b). What is the nak of the portfolio? (c) What would the manager expect in terma of ak if the correlation coefficient between the returns of the two stocka were positive? (d). What would the manager expect in terms of returns if the correlation coefficient between the returns of the two stocks were 057 (e) Estimate the systematic nsk of the portfolio (0 What would the expected return of the portfolio be on average if market would increase 1%? () What would the expected return of the portfolio be on average if market would be zero? 2) Assume an investment manager in ADIA has created a portfolio with the Stock A and Stock B Stock A has a risk of 20%, an expected return of 15% and a weight of 20% in the portfolio Stock B has nsk 15%, an expected return of 8% and a weight of 80% The constant " of the portfolio equals 0 01345 The correlation coefficient between the returns of the two stocks s- 0 345, The covariance between the portfolio returns and the market returns is 003456, and the nak of the market n 21% (a) What is the expected return of the portfolio? (b). What is the nak of the portfolio? (c) What would the manager expect in terma of ak if the correlation coefficient between the returns of the two stocka were positive? (d). What would the manager expect in terms of returns if the correlation coefficient between the returns of the two stocks were 057 (e) Estimate the systematic nsk of the portfolio (0 What would the expected return of the portfolio be on average if market would increase 1%? () What would the expected return of the portfolio be on average if market would be zero