Consider an investor who maximizes expected utility (continuation of the task is in the screenshot attached)

. Consider an investor who maximizes expected utility E(U(Rp)) with the exponential utilityr function U (RP) = e_\"RP, where HP is the portfolio return and a > 0. The economy has a risk free asset with return Rf = 1.1 and two risky assets with random returns R1, R2 distributed as normal random variables with means of = 1.2, a; = 1.3 and variances of = 4, 03 = 9, respectively, with correlation coefcient ,0 E (1, 1). (a) Determine when the optimal portfolio is diversied, i.e., when wf, an; > U. E (b) Suppose that p is such that the optimal portfolio is diversied (take for instance ,0 = 0.5). If p increases, how should 01 and (72 vary in order for the optimal portfolio to remain diversied? @