4. Suppose the economy has N = 2 risky assets. . The assets' expected returns and standard deviations are as follows: /1 = 0.15, (2 = 0.2, 01 = 0.25, 02 = 0.3. . The proportion of wealth invested in assets 1 and 2 are wj and w2 respectively (w1 + W2 = 1). . The correlation between the two assets is denoted by p. . The portfolio's expected return and standard deviation are denoted by up and Op respectively. (a) Assume p = 1. i. (2 marks) Derive an expression for up in terms of p. (You should start off with expressions for up and Up in terms of wj and w2, and go through the derivation steps to arrive at your expression). ii. (2 marks) Determine the composition of the minimum risk portfolio, as well as the mean and standard deviation for this portfolio. iii. (1 mark) Sketch your expression above (for the feasible set) and label both the minimum risk portfolio and the mean-variance efficient frontier. (b) (5 marks) Assume p = -1. Repeat part (a). (c) (5 marks) Assume p = 0.5. Repeat part (a).(d) Assume again that p = 0.5. i. (2 marks) Suppose an investor desires a portfolio standard deviation of 0.20. Is such a portfolio feasible? If so, determine the composition of the efficient portfolio which corresponds to this desired level of risk (standard deviation). ii. (2 marks) Suppose an investor desires a portfolio standard deviation of 0.28. Is such a portfolio feasible? If so, determine the composition of the efficient portfolio which corresponds to this desired level of risk (standard deviation)