Consider two assets with expected return E(r1)=0.3, E(r2)=0.6; with variances σ12=0.1, σ22=0.25 and covariance σ12=0.15 .

You create two portfolios of the two assets as follows:

Portfolio A with weight vector W_A =(0.3, 0.7);

Portfolio B with weight vector W_B =(1.2, -0.2).

(Keep all your answers except (d) to 4 decimal places.)

(a) Find the expected rate of return of Portfolio A; ___________

(b) Find the standard deviation of the rate of return of Portfolio A; ___________

(c) Find the covariance between the rate of return of Portfolio A and that of Portfolio B. ___________

(d) Can you find another portfolio whose rate of return is uncorrelated with that of Portfolio A?  (keyin 'Y' for Yes, 'N' for No.) ____