6. Consider the CAPM with two risky securities (but no risk-free asset) de- scribed by the following vector y of expected returns and the variance covariance matrix : 0.01 0 u = (0.2,0.1) and 0 0.064 ( (1) What is the vector of portfolio weights in the global minimum-variance portfolio? (2) If the market portfolio has 50% in the first security and 50% in the second, what is its expected return? (3) Under the same assumption, what is the expected return on a zero-beta portfolio? (4) What is the covariance between the global minimum-variance portfolio and the zero-beta portfolio? 6. Consider the CAPM with two risky securities (but no risk-free asset) de- scribed by the following vector y of expected returns and the variance covariance matrix : 0.01 0 u = (0.2,0.1) and 0 0.064 ( (1) What is the vector of portfolio weights in the global minimum-variance portfolio? (2) If the market portfolio has 50% in the first security and 50% in the second, what is its expected return? (3) Under the same assumption, what is the expected return on a zero-beta portfolio? (4) What is the covariance between the global minimum-variance portfolio and the zero-beta portfolio