Calculate optimal weight of two asset below that would further minimise the risk of portfolio. What is the expected return and risk of the portfolio based on this optimal weight?

Hypothetical Portfolio

Port APort B

weight0.50.5

Expected Return0.61%2.39%

Std Dev4.54%5.91%

Correlation 0.0004

Portfolio Return 1.50%

Portfolio Var 0.0014

Portfolio Std 3.73%

Range Weight Port A Std.D.

(0.0,0.1)0.055.62%

(0.1,0.2)0.155.07%

(0.2,0.3)0.254.57%

(0.3,0.4)0.354.16%

(0.4,0.5)0.453.84%

(0.5,0.6)0.553.65%

(0.6,0.7)0.653.61%

(0.7,0.8)0.753.71%

(0.8,0.9)0.853.96%

(0.9,1.0)0.954.33%

Exact range to achieve the lowest risk

(0.65,0.71)(0.609,0.648)3.60%