Assume that there are two assets and the prior distribution of the expected returns is $($in

$\%)$

$\left[\begin{array}{c}{}_1\\ {}_2\end{array}\right]N(\left[\begin{array}{c}7\\ 5\end{array}\right],\left[\begin{array}{cc}25& 0\\ 0& 16\end{array}\right])$

The investor has one personal view: She expects the first asset to outperform the second

by $4\%$ on average. However, the investor is not certain with her prediction such that

the error in her prediction has the normal distribution i$.$e $N(0,9).$ Compute the

Black$-$Litterman estimate of expected return for the investor. $(5$ marks$)$