Below is the joint probability distribution of returns for Assets A and B:

Below is the joint probability distribution of returns for Assets A and B : Independent Probabilities for rA Independent Probabilities for rB 1) Calculate the expected returns to Assets A and B. 2) Calculate the standard deviations of the returns to Assets A and B. 3) Calculate the covariance between the returns to Assets A and B. 4) Consider a portfolio made up solely of holdings of Assets A and B. a) Find the expected return and standard deviation of a portfolio in which 100% of the portfolio is Asset A. b) Find the expected return and standard deviation of a portfolio in which 70% of the portfolio is Asset A. c) Find the expected return and standard deviation of a portfolio in which 40% of the portfolio is Asset A. d) Find the expected return and standard deviation of a portfolio in which 0% of the portfolio is Asset A. e) Use the information from parts a-d above to graph the set of locus of returns and risk for portfolios of Assets A and B. Put the expected return of the portfolio on the y-axis and the standard deviation of the portfolio on the x-axis. 5) Re-draw the locus of returns and risk for portfolios made of Assets A and B. On the same graph, draw in the indifference curve of a risk-averse investor who has mean-variance utility, and whose optimal portfolio consists of 70% in Asset A