Question I.2. There are two assets X and Y. Y = 6 + 0.2X Consider the following set of returns for asset X: Probability

[answerhappygod]

Question I.2.
There are two assets X and Y.
Y = 6 + 0.2X
Consider the following set of returns for asset X:
Probability
Xi%
0.1
30
0.2
20
0.4
15
0.2
10
0.1
- 50
a) Compute expected return and standard deviation for asset
X.
b) Compute expected return and standard deviation for asset
Y.
c) You could only invest in X and Y. What is the percentage of
your wealth you need to invest into asset X to achieve zero
variance portfolio?
d) Sketch the investment opportunity set and the zero
variance point