A hedge fund has created a portfolio using just two stocks. It has shorted USD 35,000,000 worth of GE stock and has purchased USD85,000,000 of Intel stock. The correlation be- tween GE and Intel returns is 0.64. The expected returns and standard deviations of the two stocks are given in the following table Expected Return GE 11.71% Intel 14.89% Volatility 45.00% 35.00%

Question 9. What is the expected return of the portfolio?

Question 10. What is the volatility of the portfolio?

Question 11. Suppose the correlation between the returns of GE and Intel in- creases, but nothing else changes. Would the volatility of the portfolio increase or decrease?