Use Excel please!

F: risk free

The correlation between Asset A and Asset B is -0.2.

Asset F A B

Standard Deviation 0 0.35 0.6

Expected Return 0.02 0.12 0.26

Bob wants a portfolio with expected return of 22%. Investors can borrow and lend at the risk-free rate. Calculate the standard deviation of each. G is the global minimum variance combination of A and B. T is the tangency portfolio composed of A and B.

1) Invest only in assets A and B, standard deviation of Portfolio AB =

2) Invest only in assets F and A, standard deviation of Portfolio FA =

3) Invest only in assets F and B, standard deviation of Portfolio FB =

4) Invest only in assets F and G, standard deviation of Portfolio FG =

5) Invest only in assets F and T, standard deviation of Portfolio FT =

correlation is stated in the question but dont worry about it I figured it out