You have the following information on 2 risky securities: a and b.

Assume that the Risk-Free rate of interest is 2.0% per year. Please show all work.

Scenario	Probability	Return for Security a	Return for Security b
Excellent	25.00%	-10.00%	10.00%
Good	25.00%	5.00%	40.00%
Average	25.00%	15.00%	-24.00%
Bad	25.00%	25.00%	18.00%

a) Find the Expected Return for the Minimum Variance Portfolio (M*) and The Standard Deviation of the Minimum Variance Portfolio (M*).

b) Find the Weight of Security i in the Optimal Portfolio (P*) and The Weight of Security j in the Optimal Portfolio (P*).

c) Find the Expected Return of the Optimal Portfolio (P*) and The Standard Deviation of the Optimal Portfolio (P*).

d) The Sharpe Ratio of Optimal Portfolio (P*) or the Highest Sharpe Ratio