Question 2 a) Determine the expected return and the risk of a portfolio made up of 30 per cent of A and 70 per cent of B if the correlation coefficient for the returns on the two securities is +0.4, and the expected return and risks of the two securities are as follows Expected return Standard deviation A 16 per cent 20 per cent B 24 per cent 30 per cent b) Determine the expected return and risk of an equally weighted portfolio made up of 100 securities if the securities are chosen randomly, the typical security has an expected return of 14 per cent with standard deviation of 26 per cent, and the returns on the securities are independent. c) Determine the outcome for the portfolio specified in (b) if the average correlation of returns is +0.20 rather than zero