Stock X has an expected return of 11% and the standard deviation of the expected return is 12%.Stock Z has an expected return of 9% and the standard deviation of the expected return is 18%.The correlation between the returns of the two stocks is +0.2.

A.What is the expected return and the standard deviation of a portfolio consisting of 90% Stock X and 10% Stock Z?Will any rational investor hold this portfolio?.

B.What is the expected return and the standard deviation of a portfolio consisting of 10% Stock X and 90% Stock Z?

C.What is the maximum amount of Stock Z a rational investor will hold in his or her portfolio?What is the expected return and the standard deviation of this portfolio?The maximum amount is a percentage between 0% and 100%, and to receive full credit your answer should be within 0.2 percentage points of the correct answer.