I need the most help on 1b) so I gave the answer to parts 1i) and 1ii) incase only one part can be done.

1) Consider portfolios with positions in the US and Brazilian equity markets. The (annual) expected return and standard deviation of returns for the 2 markets are as follows:

a) Calculate the expected returns and standard deviations of the following portfolios:

The correlation between the returns is 0.2.

(i) 80% in the US, 20% in Brazil

Answer: E(rp)=11%, SDp=18.177%

(iii) 20% in the US, 80% in Brazil

Answer: E(rp)=14%, SDp=25.108%

Answer:

b) What is the correlation between the returns on the portfolios in parts a(i) and a(iii)?

PLEASE HELP w/ 1b.

(i) 80% in the US, 20% in Brazil (ii) 50% in the US, 50% in Brazil (iii) 20% in the US, 80% in Brazil (i) 80% in the US, 20% in Brazil (ii) 50% in the US, 50% in Brazil (iii) 20% in the US, 80% in Brazil