Consider two assets. Suppose that the return on asset 1 has expected value 0.06 and standard deviation 0.15 and suppose that the return on asset 2 has expected value 0.03 and standard deviation 0.08. Suppose that the asset returns have correlation 0.35.

Consider a portfolio placing weight on asset 1 and weight 1- on asset 2. Let Rp denote the return on the portfolio.

1. Find the mean, variance, and standard deviation of Rp as a function of . Display your output
2. Plot the opportunity set
3. Find the minimum-variance portfolio. Report the weights, mean, and standard deviation of this portfolio.
4. Find the tangency portfolio. Suppose the risk-free rate is 0.003. Report the weights, mean, and standard deviation of this portfolio.