(1 point) The volatilities of the returns on two assets are = 0.2 and 62 = 0.24. Let w* denote the allocation to asset one that would minimize the standard deviation of the portfolio's return. (a) Compute w* assuming the correlation between the returns is p = -20%. Express your answer as a percentage, to the nearest ten basis points. Allocation to First Asset = % (b) Compute w* assuming the correlation between the returns is p = 95%. Express your answer as a percentage, to the nearest ten basis points. Allocation to First Asset = % (c) What is the largest value of p for which w*