JU Fall Exercise #1 (10 points) The following are returns of company A and company B. yr1 yr2 Company A 12.0% -6.0% 15.0% yr3 yn 5 8.0% -4.0% Company B Arithmetic Mean Standard Deviation 3.0% 8.0% New Portfolio Weight in A Weight in B 30.0% 70.0% Required 1. (4 points) Calculate the arithmetic and geometrie mean return of Company A. 2. (2 points) Calculate the standard deviation of Company A. 3. (2 points) Calculate the portfolio standard deviation of the new portfolio if the correlation between A and B is 0.6. 4. (2 points). What would the portfolio weights need to be in A and B to generate an expected return of 0.038