Question 4 Bob considers investing in stock A and stock B. He estimated the following annual statistics: E[r_A]=10%, sigma_A =20%,E[r_B]=15%, sigma B=30% and rho_A,B =0.3. He also knows that rf=1%, and that his risk aversion parameter is 3 . a) Set up the minimization problem to find the minimum variance portfolio for these two assets b) Write down the expression for the minimum variance weights, and plug-in the numbers c) What are the expected returns, standard deviation, and Sharpe ratio for the minimum variance risky portfolio? d) Set up Bob's optimization problem for the optimal risky portfolio e) Write down the expression for the optimal weights, and plug-in the numbers f) What are the expected returns, standard deviation, and Sharpe ratio for the optimal portfolio? g) Set up Bob's optimization problem for the complete portfolio h) Solve Bob's optimization problem for the complete portfolio, and find the optimal weights i) What are the expected returns, standard deviation, and Sharpe ratio for the complete portfolio? j) What are the weights for individual assets in the complete portfolio? k) If Bob's initial wealth was $100, what is the dollar amount invested in each asset (assets A, B and the risk-free asset)