Consider the following properties of the return of stock 1, of stock 2 and of the market (m): 01 = 0.20, P1m = 0.4 02 = 0.30, P2,m = 0.7 Om = 0.15, E(rm) = 0.10 Suppose further that the risk free rate is 5%. 9(d). Suppose that the correlation between the return of stock 1 and the return of stock 2 is -0.7. What is the expected return and the standard deviation of a portfolio that has a 40% investment in stock 1 and 60% investment in stock 2? Consider an investment that is made up of a combination of this risky portfolio and the riskfree asset. In this case, would it be advisable to switch to a portfolio made up of the market portfolio and the risk-free asset? In other words, is the market portfolio mean-variance efficient in this case