31. An investor estimates the expected return on domestic and international stocks to be the same, but the variances are different - a standard deviation of .16 for domestic stocks and .24 for international stocks. The correlation between domestic and international stocks is estimated to be .25. (a) How should a portfolio be split between domestic and international stocks to minimize portfolio variance? (b) Why doesn't variance fully describe the risk of an asset or a portfolio? Give an example. (c) Give an example of why an investor might not want to hold the market index for their stock portfolio, even if they thought it was mean-variance efficient amongst all portfolios of traded stocks and the investor was a mean-variance utility maximizer who did not believe he or she could "beat the market"? 31. An investor estimates the expected return on domestic and international stocks to be the same, but the variances are different - a standard deviation of .16 for domestic stocks and .24 for international stocks. The correlation between domestic and international stocks is estimated to be .25. (a) How should a portfolio be split between domestic and international stocks to minimize portfolio variance? (b) Why doesn't variance fully describe the risk of an asset or a portfolio? Give an example. (c) Give an example of why an investor might not want to hold the market index for their stock portfolio, even if they thought it was mean-variance efficient amongst all portfolios of traded stocks and the investor was a mean-variance utility maximizer who did not believe he or she could "beat the market