Exercise 1. Consider an economy with 2 risky assets with the following expected returns and standard deviations: E (RA) 8% [14.14% [BR] - [%] ; [C(R)] = [12149] E O(RB 20% The average correlation between the assets is 0.1. The weight of asset A in the economy is 40% and the weight of asset B is 60%. The risk-free rate is 3.5%. a) Mrs Pennymoney has invested 1 million in a minimum-risk portfolio with an expected return of 9%. How much has Mrs Pennymoney invested in risky assets? How much has she invested in the risk-free asset? b) Mr Poundmoney is a less risk averse investor. He has invested 2 million in a maximum-expected return portfolio with a risk (variance) of 0.05. How much has Mr Poundmoney invested in each asset? Exercise 1. Consider an economy with 2 risky assets with the following expected returns and standard deviations: E (RA) 8% [14.14% [BR] - [%] ; [C(R)] = [12149] E O(RB 20% The average correlation between the assets is 0.1. The weight of asset A in the economy is 40% and the weight of asset B is 60%. The risk-free rate is 3.5%. a) Mrs Pennymoney has invested 1 million in a minimum-risk portfolio with an expected return of 9%. How much has Mrs Pennymoney invested in risky assets? How much has she invested in the risk-free asset? b) Mr Poundmoney is a less risk averse investor. He has invested 2 million in a maximum-expected return portfolio with a risk (variance) of 0.05. How much has Mr Poundmoney invested in each asset