Question 6 10 pts Suppose that there are two assets on the market, A1 and A2. The expected return of A1 is 6 per annum and its standard deviation of return is 3. Asset A2 has an expected return of 9 per annum and its standard deviation of return is 4. The returns of the two assets have a correlation of 0.25. (a). What is the expected return and standard deviation of the minimal variance portfolio of A1 and A2? (b). Explain whether A1 and A2 are efficient or not. (c). Suppose that any linear combination of A1 and A2 follows a normal distribution. The initial wealth of an investor is 1 million dollars in the minimal variance portfolio. Find the investor's 1-year Value-at-Risk (VaR) at the 0.1% level? Show your answer correct to the nearest cent. The table for standard normal distribution is available at: Standard Normal Table.pdf Upload Choose a File Question 6 10 pts Suppose that there are two assets on the market, A1 and A2. The expected return of A1 is 6 per annum and its standard deviation of return is 3. Asset A2 has an expected return of 9 per annum and its standard deviation of return is 4. The returns of the two assets have a correlation of 0.25. (a). What is the expected return and standard deviation of the minimal variance portfolio of A1 and A2? (b). Explain whether A1 and A2 are efficient or not. (c). Suppose that any linear combination of A1 and A2 follows a normal distribution. The initial wealth of an investor is 1 million dollars in the minimal variance portfolio. Find the investor's 1-year Value-at-Risk (VaR) at the 0.1% level? Show your answer correct to the nearest cent. The table for standard normal distribution is available at: Standard Normal Table.pdf Upload Choose a File