1. The portfolio problem with two investments X and Y has the objective: minimize the variance (Var) of the rate-of-return of the portfolio (the parameter a is the fraction of investment made in investment X) min : Var(aX +(1-a)Y) Show that the minimum of this objective occurs when o - OXY a o +o} 20 x where o is the variance of the rate of return for investment X; o, is the variance of the rate of return for investment Y; and, is the covariance of the rate of return for investments X and Y. Hint: You will need the expression for the variance of a sum of correlated random variables. Treat a as a constant. XY a