Chris is considering forming a portfolio using stocks A and B which have the expected returns of 5% and 10%, respectively, and the standard deviations of returns are 10% and 18.5%, respectively. The beta for stock A is 0.8 and for stock B is 1.6. The return correlation between the two stocks is 0.105. (1) Should Chris invest in a portfolio consisting of 60% stock A and 40% stock B, or invest everything in stock A? Does your choice depend on your assumption about risk appetite/aversion? (ii) What proportion of the portfolio should Chris invest in stock A and stock B if the portfolio were to have a beta of one? (iii) The risk-free rate is 1%. Chris wants to re-allocate some of the investments in the stock portfolio from the one described in question (i) (i.e., the portfolio with 60/40 split between stock A and B) to the risk- free position. What is the expected return on the new portfolio if the standard deviation of returns on the new portfolio is 5%?