2. Consider a three asset world with the following parameters: 0.3 0.02 -0.051 Mean returns =R= 12% , 0= 0.02 0.4 0.06 14% -0.05 0.06 0.6 Suppose you have two investment opportunities for a portfolio based on the three assets with the follow- ing invested fractions: P1 = [0.3 0.2 0.5 ] Py = [ 0.5 0.4 0.1 ] (a) Evaluate the mean and variance of each portfolios returns. (b) Which portfolio would you invest in, P, OR P2