Suppose that there are two assets: A and B. Asset A has expected return of 20% and a standard deviation of *

* = standard Deviation ()

(a) As B is strictly dominated by A in terms of total risk (standard deviation), there is no value in having B in portfolio formation. (Without doing any calculation)

(b) If the correlation coefficient between A and B = 1, it is always optimal to invest in A only. (Show your proof)

(c) If the correlation coefficient between A and B = -1, it is always optimal to invest in 50% in A and 50% in B when forming a minimum variance portfolio of the two. (Show your proof) [

(d) Given that A= B=*, it is always optimal to combine half of A and half of B when forming a minimum variance portfolio of the two when (-1,1). (Show your proof)