Consider a market consisting of two risky assets S1 and S2 such that (1; 1) =

(0:1; 0:1), (2; 2) = (0:20; 0:12) and 12 = 0:1.

a) (5 pts) Find the weights of the portfolio V that has expected return 4 times of the expected

return of the minimum variance portfolio. (Round to the nearest thousandth)

b) (5 pts) Assume also that there is a risk-free asset with return R = 2%. Determine the weights

of the market portfolio wM. (Round to the nearest thousandth)