1. Suppose an investment professional is putting together a portfolio of two risky assets A, B and a risk-free asset. Assume that the tangency portfolio combining the two risky assets consists of 80% A and 20% B, and has expected return 8% and volatility of 5.5%. Suppose also that the risk-free rate of return for lending or borrowing is 2%. (a) Find the equation of the efficient portfolio frontier (b) Find the optimal portfolio that would give an expected return of 10% and explain how you would invest a capital of $2,100,000 with lending or borrowing in this case