20) Consider portfolios formed from two risky assets, the first with expected return equal to 4 and standard deviation of its return equal to 6, the second with expected return equal to 5 and standard deviation of its return equal to 3. Let w, denote the fraction of wealth in the portfolio allocated to asset 1, Let 1-w, denote the fraction of wealth in the portfolio allocated to asset 2. Suppose that the two asset returns are uncorrelated, so that p12 = 0. What is the expected return Hp and the variance of the portfolio Var(p)? (Numbers are in percentage) Hint: the expected return of a portfolio=w, *E(R, )* (1-w, )E(R, ); the variance of a portfolio the variance of a portfolio=w12o12 +w22022 + 2. wlolw2.02. 012 a) H=5-4wl, Var(p)-w12*45+9-18W1 b) Hp =5w1, Var(p) w145+9-9W1 c) Hy5+w1, Var(p) w1+9+9-18W1 d) M, 5-wl, Var(p) w12-45+9-18W1