Stocks A has an expected daily return of 0.05% and B has an expected daily return of 0.10%, and they have following variance-covariance matrix,

A B

A 0.25%

B -0.20% 0.50%

Assume that the investor has no leverage and cannot short either stock. What is the variance of the maximum expected return portfolio: (a) -0.20%; (b) 0.75%; (c) 0.50%; (d) 0% Also what is the mean of that matrix?