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Consider two assets with expected return E(r1)=0.37, E(r2)=0.47; with variances 1 2 =0.11, 2 2 =0.29 and covariance 12 =0.19 . The risk free rate

Consider two assets with expected return E(r1)=0.37, E(r2)=0.47; with variances 12=0.11, 22=0.29 and covariance 12=0.19 . The risk free rate is 0.12. Find the normalized weight w1 and w2 of the efficient portfolio (the tangency portfolio) of risky assets.

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