The (annual) expected return and standard deviation of returns for 2 assets are as follows: Asset A Asset B E[r] 10% 20% SD[r] 30% 50% The correlation between the returns is 0.15. a. Calculate the expected returns and standard deviations of the following portfolios: i. 80% in A, 20% in B ii. 50% in A, 50% in B iii. 20% in A, 80% in B b. Find the weights for a portfolio with an expected return of 25%? What is the standard deviation of this portfolio? c. Find the weights for a portfolio with the same standard deviation as asset A but a higher expected return? (Trial and error may be a viable strategy; however, there is an analytical solution.) What is the expected return of this portfolio? d. What is the correlation between the returns on the portfolios in parts a(i) and a(iii)? (Recall that correlation is covariance divided by the product of the standard deviations.)