Consider two risky assets A and B. The expected returns for asset A and B are 10% and 15%, respectively, and the standard deviations of returns for asset A and B are 30% and 40%, respectively. The correlation between the returns of asset A and B is 0.4. You want to form a portfolio using these two assets.

a) Find the portfolio with the minimum variance. Determine the weights in A(wA) and B(wB), so that the portfolio has the lowest variance possible.

b) What is the Sharpe ratio of the minimum-variance portfolio? Assume a risk-free rate of 2%.