An investor has access to two risky assets, 1 and 2. The investor forms a portfolio using the two assets with weights given by the 2 by 1 column vector: w = [w1

w2 ] The variance-covariance matrix for the two asset returns is: V =[ ²1 12 12 ²2 ] where 12 is the covariance in the rates of return on assets 1 and 2. (a) Using algebra, perform the matrix multiplication needed to express the variance of the portfolio return, Var(rp) = wV w, without matrix notation. (b) If the correlation (12/(12)) between the two asset returns is equal to zero, are there risk minimisation benefits to diversification (not putting all of the investment in a single asset? (c) What about if the correlation is 0.9? (d) What about if the correlation is -0.9?