Problem 3 (24 pts) Mary has access to risky stocks A and B. But she has no access to risk-free T-bills. The two assets have the following characteristics: Stock A: Expected return = 12.5% per annum, Standard deviation = 14% per annum Stock B: Expected return = 5% per annum, Standard deviation = 8% per annum The correlation coefficient between return on stock A and return on stock B is 0.10 Mary's utility function and her coefficient of risk aversion is equal to 3 a) Suppose Mary wants to invest is a portfolio consisting of A and B such that the portfolio has the smallest possible variance. What are the weights on asset A and asset B in such portfolio? (6 pts) b) What is the expected return of the portfolio you found in part a? (6 pts) Problem 3 (continued) c) What is the standard deviation of the portfolio you found in part a? (6 pts) Problem 3 (continued) c) What is the standard deviation of the portfolio you found in part a? (6 pts)