A portfolio, H of two assets, i and j, is constructed with a 35% weight in asset i and the rest in asset j.

Here is the relevant information on i,j, and their relationship;

E(R_i) = 13%; E(R_j) = 8%; _i = 10.61%; _j = 6.52% ;_i,j = -16.60 (or 0.001660 if using decimals instead of percentages), _i,j = -0.24.

Please answer the following questions (1 point each) in the order given, clearly marking the parts, a, b, and so on. Answers alone without detailed calculations, even if correct, will earn no credit. Clearly show all your calculations and do not start any solution with the equal sign or, worse yet, by just numbers. Tell me what you are calculating before you calculate. Points will be lost if you start by writing 0.35*6 and so on. All answers final should be in two decimal places (if you use decimals for the variance or covariance those should be in 6 decimal places as I explained in my lectures), and their units should be shown clearly: Example: $12.34. E(R_C) = 12.89%, etc

1. Verify that the values given for the standard deviations, the covariance, and the correlation coefficient are consistent with each another. Show how.
2. Would an investor have been better off constructing a portfolio, K in which asset is weight is 60% instead of 35%? Do all the necessary calculations and explain why, or why not in your own words.