Consider the case of two risky assets, stock A and stock B (and no risk-free asset.) Stock A has an expected return of E[rA] = 0.08 and a standard deviation of A = 0.2. Stock B has an expected return of E[rB] = 0.06 and a standard deviation of B = 0.25. The correlation between the two stocks is = 0.25. You are a mean-variance optimizer with coefficient of risk aversion A = 2. Compute the optimal portfolio composed of these two assets (that is, what fraction of wealth to hold in each asset). Then compute the expected return and standard deviation of the optimal portfolio.