(20 pt) Consider a portfolio P which consists of two securities S and s2. Let r and r2 be the random variables that represent the rate of return of S and S2, respectively. Let 1 - a be the weight of S and a that of S. Keep the notations Ti, oi (i = 1,2), 012 = Cov (r1, 72), 12 = corr (r, r2) as usual. It can be proved that (0,7) is part of hyperbola p= 0102 (T - b) C 02 (ac) In other words, o = a(r-b) + c for some a, b, c > 0. Find a, b, and c. = 1.