#9. You are constructing an investment portfolio. You can invest in American Airlines, Southwest Airlines, and Tbills. The expected return on American is 7% with a standard deviation of 12%. The expected return on Southwest is 13% with standard deviation of 24%. The correlation coefcient between American and Southwest is .2. The T-bill rate is 2%. (a) Initially you mistakenly assume that you can only invest in one of the airlines and T-bills. Which airline should you invest in? (int: Think about slopes of litres in risk-return space) (b) Now your realize you can invest in both of the airlines and you want to construct a portfolio by investing solely in the two airlines and yielding an expected return of 10%. (i) What are the portfolio weights on the two airlines? (ii) What is the standard deviation of this portfolio