c) Consider two stocks, A and B. Stock A has an expected return of 15% and standard deviation of returns of 30%. Stock B has an expected return of 20% and standard deviation of 35%. The returns on A and B are perfectly negatively correlated (i.e. correlation = -1): i. What is the expected return and standard deviation of equal-weighted portfolio? (5 marks) What is the expected return and standard deviation of value-weighted portfolio assuming market cap of GBP 70bln and GBP 90bln for stocks A and B respectively? (8 marks) ii. iii. Is it possible to construct a portfolio of these two stocks that is riskless? If yes, what are the weights of this portfolio? (5 marks) d) To obtain the risk-reducing benefits of diversification, you need to invest in uncorrelated or negatively correlated assets'. Is this statement True/False? Justify your answer (you will be evaluated on your justification). (6 marks)