The securities of companies Z and Y have the following expected returns and standard deviations:

Company Z Company Y

Expected Return (%) 15 35

Standard Deviation (%) 20 40

Assume that the correlation between the returns of the two securities is 0.25.

(a) Calculate the expected return and standard deviation for the following portfolios:

(1) 100%Z

(2) 75%Z + 25%Y

(3) 50%Z + 50%Y

(4) 25%X + 75%Y

(5) 100%Y

(b) Graph your results (standard deviation on the X axis, Expected return on the Y axis).

(c) Which of the portfolios in part (a) is not optimal? Explain.

Please show formulas