a.Consider a portfolio (called portfolio 1) which is weighted two-thirds in Security A and one-third in Security B. This portfolio will have an expected return of 14% p.a. Compute the standard deviation of return for portfolio 1. Show your calculations.

b. Consider a portfolio (called portfolio 2) which consists of M and F and which has the same expected return as portfolio 1. What weights would achieve this result? Show your calculations.

c. Compute the systematic risk (b) of portfolios 1 and 2 above. Show any calculations you make.

d. Explain your results in parts a-c. Be sure to discuss the relationship between risk and return and the difference between the two types of risk computed.

All 4 parts of this question use the data in the table below concerning two securities (A and B) the market portfolio (M) and the risk-free asset (F) Expected Standard ReturnDeviation Correlation Matrix Beta 0.3 0.4 5% 30% I 5% 090 0.5 0.8 12% 18% 20% 5% 0.3 0.4