2. Consider assets 1 and 2 having the following distribution of returns: = Pri P(ri Pri = -1 and r2 = 0.15) = 0.1, 0.5 and r2 = 0.15) = 0.8, 0.5 and r2 = 1.65) = 0.1. (a) Calculate the mean, variance and covariance of these two assets. (b) Assuming that only assets 1 and 2 exist in the market, what is the frontier of all possibile portfolios in (u, 02)? Write down the equation of the frontier and calculate the values of (1,02) corresponding to the percentages 0%, 25%, 50%, 75% and 100% invested in asset 1. (c) Which portfolios belong to the efficient frontier? That is, which portfolios have the lowest variance for a given level of expected return? (d) Show that asset 1 mean-variance dominates asset 2 in all but one of the efficient portfolios. Give an intuitive explanation