Ms Masumbuko a Tanzanian portfolio manager has gathered the following information on three different stock exchanges.

DSM SOUTH AFRICA UGANDA NEW YORK

Expected Return $12\%8\%9\%10\%$

Standard Deviation $9\%8\mathrm{.}1\%15\mathrm{.}3\%7\%$

Market beta relative to DSM Stock Exchange $-0\mathrm{.}91\mathrm{.}7\%0$

REQUIRED:

i$)$ Determine whether returns from each of the individual foreign markets are positively or negatively correlated with those of the DSE and state in each case whether the benefit of international portfolio can be attained.

ii$)$ Determine the risk of an internationally diversified portfolio which is $75\%$ invested in the Dar es Salaam Stock Exchange and $25\%$ invested in each of the three foreign markets.