Question 2 (25 marks in total) Assume stocks A and B have the following characteristics: Expected Return Standard Deviation A 3% 17% B 4% 15% The covariance between the returns on the two stocks is -0.2. a) (5 marks) Consider a portfolio consisting of only two assets, asset A and asset B. Find the portfolio weights, wa and wg, such that the variance of this portfolio is minimised. b) (5 marks) What is the expected return on the minimum variance portfolio? c) (5 marks) If the covariance between the returns on the two stocks is 0.3, what are the minimum variance weights? d) (5 marks) What are the variance and standard deviation of the portfolio in part (c)? e) (5 marks) If stock A has a beta of 0.2 and stock B has a beta of 0.8, what is the beta of the portfolio in part (c)