A portfolio consists of assets A and B, which possess the following expected return, risk and
weights.

Asset Expected
return/ %

Standard
Deviation/
%
Weight
A 10 20 0.35
B 15 25 0.65

(i) What correlation between the two assets produces the maximum portfolio standard
deviation?
(ii) What correlation between the two assets produces the minimum portfolio standard
deviation?
For both parts (i) and (ii) of this question, show your calculations.