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Asset 1 has an expected return of 1 0 % with a standard deviation of 2 5 % , and asset 2 has an expected

Asset 1 has an expected return of 10% with a standard deviation of 25%, and asset 2 has an
expected return of 15% and a standard deviation of 35%. The covariance between the returns
is 0.0175 and the risk-free rate is 8%.
(a) What is the optimal portfolio consisting of risky assets and risk-free asset if you want
an average return of 0.10? Answer.
(b) Can you find a portfolio consisting of risky and risk-free assets with average return of
0.10 and variance of return 0.009? Why or why not? Answer.
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