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5. [24pts] An investor is considering three stocks A, B and C for his portfolio. Table 1 gives the means and standard deviations (Risk) of the annual returns for the three stocks. The correlation between the annual retums of A and B is 0.1, between B and C is 0.2, between A and C is 0.15. The investor has already decided to invest equal amount of capital in stock A and B. Denote the proportion of investment in A by. Assume that the investor has to invest all the capital Hint: Cov(X,Y)= (a) [8] What will the average return and risk (STD) of a portfolio with = 0.3? (b) [8] If the objectives were to maximize return, what will be the optimal value of? What will be its return and risk? (c) [8] Find the optimal value of that will define a portfolio with minimum variance. Formulate the optimization problem and solve by hand. What is the risk and return of the minimum variance portfolio