Consider a market with two assets, A and B. Asset A pays an expected return of pA and asset B pays an expected return of pb. Both A and B are risky assets with the variance denoted by oz and o, respectively. Then consider a portfolio P consisting of asset A and B. Let X be the fraction of asset A and (1 - X) be the fraction of asset B in this portfolio P. a. (3 points) Show that the expected return of portfolio P, denoted by up, equals a linear combination of the expected returns of asset A and asset B. b. (3 points) Show that if asset A and asset B are perfectly negatively correlated (PAB = -1), one can create a riskless asset by constructing a portfolio out of A and B. Derive the weights A and (1 - 1) for this portfolio as a function of the standard deviations A and B