#1. Consider two risky assets. The first one is the stock of Microsoft. The second one itself is a portfolio of Small Firms. The following information is given. E(Rmail) = 1.912, E(R) = 3.126, Osmall = 3.711, Op = 8.203. Cov( Rywall Ruan) = 12.030 What is the expected return and standard deviation of a portfolio formed with 60% invested in the small firm asset and 40% in Microsoft