QUESTION 6 A portfolio manager is trying to calculate the best combination of three assets stock, bonds and commodities. From the past performance, he has calculated the following Commod Three-Asset Case Stocks Bonds ities Expected return E(R) Variance Standard deviation 990 | 296 4% 90% 95% 1909 5096 138% | 71% | Correlation between stocks and bonds Correlation between stocks and commodities Correlation between bonds and commodities 0.3 0.5 0.1 a. Calculate all expected returns and standard deviations of all portfolio combinations. Use 10% as the smallest unit of the combination, so for example the first combination will be stock 100%, Bonds 0% and Commodities 096, second combination stock 90% Bonds 10%, Commodities 096 and so on. (5 marks) b. Plot the efficient frontier for all combinations