3. Given the following information:

E(R)

ABC Insurance 10% 20%

HK Gas 5% 13%

Exchange Fund bills 2.0% 0%

The correlation between the two stocks is 0.25.

Q1. Calculate the investment proportions in the minimum-variance portfolio of the two stocks with its expected return and standard deviation.

Q2. Compute the investment proportions in the optimal risky portfolio of the two stocks with its expected return and standard deviation.