Consider a capital market with only two risky assets A and B. Their standard devia- tions are 1 and 2, respectively. There is no risk-free asset. (a) When the correlation coefficient PAB = 0, construct a portfolio, whose variance is strictly less than 1. (Hint: you may want to try the portfolio that puts more weights on the security with the lower standard deviation.] (b) (Optional) Show that when the correlation coefficient PAB = -1, there exists a portfolio consisting of A and B, whose standard deviation is 0. In particular, specify how the portfolio is constructed. [Hint: to solve this question, you may need the following formula to calculate the variance of a portfolio P=h^0 A+ hp o B: c = 10 + 2Ah BPABO AZ B + hack.]