Consider the Markowitz model with n= 2 assets, whose returns are characterized by the pairs A=

(mu1; sigma1) and B= (mu2; sigma2 ). We here consider the case where the correlation is = - 1.

(a) By using a suitable property of the correlation between random variables, show that there exist

a >0 and b e Rsuch that mu2 = a*mu1 + band sigma2 = a*sigma1 .