Two securities, A and B, have normally distributed returns with following parameters:

_A ~ (0.01,2) _B ~ (0.02,5)

= 0.3

1. Plot the feasible mean-standard deviation [, ] combinations assuming that the two securities are the only risky investment assets available and short-selling is not allowed.

2. Plot the feasible mean-standard deviation [, ] combinations assuming that the two securities are the only risky investment assets available and short-selling is allowed.

3. Show on a graph (standard deviation on the x-axis and mean on the y-axis) the portfolios that belong to the mean-variance efficient set.