Question One

A porffolio analyst is considering the benefits of increasing his client's diversification by investing abroad. He can acquire stocks in individual country funds with the following identities:

$\backslash$table$[[,$Tanzania. $(\%),$Uganda. $(\%),$Kenya $(\%)],[$Expected return,$15,12,5],[$Standard deviation of return,$10.,9,4],[$Correlation with Tanzania,$1\mathrm{.}0,0\mathrm{.}33,0\mathrm{.}06]]$

a$)$ What are the expected returns and standard deviations of returns of a portfolio on three different scenarios with

i$.35\%$ invested in the Uganda and $65\%$ in Tanzania,

ii$.50\%$ in each country, and

iii. $65\%$ in Uganda and $35\%$ in Tanzania?

b$)$ What is the expected return and standard deviation of return of a portfolio on three different scenarios with;

i$.45$ percent invested in Kenya and $55$ percent in Tanzania,

ii$.50\%$ in each country, and

iii. $55\%$ in Uganda and $45\%$ in Tanzania?