Q6. Gamma Ltd and Delta Ltd. have the following details : Risk (S D) Return B Ltd 25% 30% V Ltd 20% 22% -0.40 Construct the minimum risk portfolio using Markowitz Model. Also calculate the return and risk of that portfolio. Show the benefit of diversification.

PLEASE PUT IT IN EXCEL, IT HAS TO BE IN EXCEL NO OTHER WAY OTHER THEN IN EXCEL. USE EXCEL! Question 2: Consider two risky assets, S and B, with the following characteristics: E(rs) 9%, Os 20% E(TB) 5%, OB 5% and PBS - 1 a) Is it possible to combine the two assets a portfolio such that the portfolio has zero risk (i.e. zero standard deviation)? If so, what is the composition of the zero risk portfolio? b) Suppose that in addition to trading in the risky assets S and B, investors can also freely buy, sell or short-sell a risk-free asset with risk-free rate rf. What must be the risk-free rate re? What would happen otherwise?

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A diagram of the CML and SML for the market M, risk-free asset ry, an inefficient portfolio P, and a complete portfolio C is shown below. The diagram is not to scale. E(r) E(13) CML & CALP E(12) P C E(r) M 01 02 03 P βρ SML M Вм The values of the labeled variables are E[1] = 3.0%, E[12] = 10.3%, E[3] = 16.7%, σ₁ = 17.9%, σ = 30.0%, 03 = 44.3%. What is the standard deviation of nonsystematic risk for the complete portfolio σc under the CAPM? O a. 0.1374 O b. 0.1180 O c. 0.0988 d. 0.1105 O e. 0.0791 O f. 0.0913 Og. 0.0858 O h. 0.1443