a) Suppose that you have decided to invest in all three assets based on the equally- weighted concept to form your portfolio. In total, you have $50,000 to invest. (i) What is the expected return on this portfolio? And how much do you invest in each asset in terms of dollars?

(ii) What is the variance on this portfolio?

b) Is it possible to form a zero-variance portfolio using A and C listed above provided that short selling is not permitted? Why or why not?

Consider that you have three assets available to invest in and you are reviewing the following information regarding these assets: B C Asset Expected return Variance 0.2 0.1 0.09 0.04 0.16 0.1 B Correlation A A 1 0.5 -0.3 B 1 -0.2 1