(C) Suppose assets A, and A2 are perfectly negatively correlated, with expected returns E(R) = 0.06, E(R2) = 0.08 and variances 0 = 0.04, 0 = 0.09. There is no risk- free asset (0) Assume x is the portfolio proportion invested in asset Al. Verify that, for the minimum variance portfolio, the portfolio proportion invested in asset A is given by 02 01 +02 [3 marks]