6. Suppose that there are two assets: A and B. Asset A has expected return of 20% and standard deviation of * and Asset B has expected return of 12% and standard deviation of *. Evaluate the following statements independently:

(a) "As B is strictly dominated by A in terms of total risk (standard deviation), there is no value in having B in portfolio formation." (Without doing any calculation) [1 point]

(b) "If the correlation coefficient between A and B = 1, it is always optimal to invest in A only." (Show your proof) [2 points]

(c) "If the correlation coefficient between A and B = -1, it is always optimal to invest in 50% in A and 50% in B when forming a minimum variance portfolio of the two." (Show your proof) [2 points]

(d) "Given that A= B=*, it is always optimal to combine half of A and half of B when forming a minimum variance portfolio of the two when (-1,1)." (Show your proof) [2 points]