b) [10 marks] Consider two stocks, A and B, with expected returns and volatilities given by E[r]=10%, A=20%, E[B]=15%, B=30%. The riskless rate is 4%. The correlation of stock returns is 0.3. Consider now the tangency portfolio T for the efficient frontier constructed by investing in stocks A and B. The expected return of the tangency portfolio is E[r]=12.45%. What are the weights of stocks A and B and the riskless asset in the tangency portfolio T? What is the volatility of the tangency portfolio?