You are given the following information: i ir iA iB Security A 15.0% 10.0% 1 0.60 Security B 20.0% 15.0% 0.60 1 Notation: i = Standard deviation of the rate of return on security i = A, B. ij = Correlation coefficient between the rate of return on assets i and j. ri = Expected rate of return on asset i. i. Construct an equally weighted portfolio comprising of these two securities. Calculate the expected rate of return and the standard deviation of this portfolio (show all the details of your calculations). (10 marks) ii. Now assume that the correlation coefficient is -0.60 (instead of 0.60). Calculate again the standard deviation of the portfolio. (5 marks) iii. Briefly comment on the differences between questions (i) and (ii) (in maximum 150 words). What is the benefit, if any, from the lower correlation coefficient?