(b) The expected return and standard deviation of return on Asset 1 is ER, and , respectively. The expected return and standard deviation of return on Asset 2 is ER and 2 respectively. The returns on these assets are uncorrelated. Assume that W of the index (market) portfolio is invested in Asset 1 and W12 =1-W of the index (market) portfolio is invested in Asset 2. Use values for ER = 20%, = 10%,ER = 10%, = 02 6% and W =0.5. I,1 (i) What is the expected return on the zero-beta portfolio? I,1 (ii) What is the vector of weights in the global minimum-variance portfolio? (iii) What is the covariance between the global minimum-variance portfolio and the zero-beta portfolio? (iv) What is the equation of the security market line?