I Asset A's price today is FAQ : 104, in 6 months it pays for sure a dividend DAG}, : 1.5 and its ex-dividend price will be state-dependent either 13,13,5(81) = 110, PA,0_5(32) = 103 and PA,U.5(33) : 90 0 Asset B's price today is P310 : 51, in 6 months it pays for sure a dividend D335 : 3.5 and its exdividend price will be state-dependent either P335 (31} = 52, PB!0_5(32) = 57 and P3,0.5(33) : 35 I the risk-free interest rate during; this 6 months is 0.01 Compute the following 1. The expected returns, risk premia, volatilities and correlations of the three assets 2. The expected return and volatility of a portfolio invested 60% (Le. with a weight of 0.6) in asset A, 30% in asset B and 10% in the risk-free asset Hint 1: for question 2 rst compute the (3 X 1) vector of expected return an and the (3 X 3) covariance matrix V0 Hint 2: the covariance between a constant and a random variable is zero 3 Question 3 Given generic asset 1, with expected return #1 and risk 01, and generic asset 2, with expected return #2 and risk 02, let 0112 be the covariance between the two assets. 1. Derive the formulas for a generic proper portfolio gt? expected return and risk as a function of asset 1 weight 96'; 2. if the proper portfolio has an expected return of 0.15, what is the proportion invested in asset 1