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An individual must choose how how to split their money between 2 investments. The return on each investment is A and B respectively, and X

An individual must choose how how to split their money between 2 investments.

The return on each investment is A and B respectively, and X is the proportion of wealth spent on A (so 1 x is spent on B). The return on the portfolio is:

Return = xA + (1-x)B

The asset returns are random, with E(X) = 0.06, E(Y) = 0.01, and the variances are V(X) = 0.001 and V(Y) = 0.004.

a) find the percentage to be invested into A to maximise return on the portflio.

b) find percentage to be invested in A to minimise variance of return.

c) if portfolio variance is minimised, what is the expected return?

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