- Portfolio Volatility (8 marks) Consider a portfolio of two stocks. Data shown in the table below. Let x denote the weight on Stock A and 1-x denote the weight on Stock B. Correlation coefficient equals PAB. a. Write down a mathematical expression for the portfolio's mean return and volatility (standard deviation) as a function of x. (2 marks) b. What is the portfolio's mean return and volatility when x = 0.4 if pab=0? paB = +1? PAB = -1? (4 marks) c. Suppose PAB = -1? Are there portfolio weights that will result in a portfolio with no volatility? If so, what are the weights? (2 marks) Stock Stock A Stock B Expected Return 15% 7% Volatility 40% 30%