An investor uses the mean-variance criterion for selecting a portfolio of two risky assets. Asset 1 has an expected return of 20% and a variance of 4. Asset 2 has an expected return of 60% and a variance of 36. There is no risk-free asset available.

i. Explain how to construct the efficient portfolio frontier for the cases in which the correlation coefficient between the returns, 12, is equal to +1 and also when it is equal to 1.

ii. Describe, in general terms, how to construct the portfolio frontier when 1 < < +1