Part C 12. (10 points) Suppose that the points) Suppose that there are two assets (A and B) whose returns are 0, 0.1, H, =02 ,0,15 jointly normally distributed. They are chard racterized as follows: 4 = 0.1, 0.1. H = 0.2, 0, 0,15 and p = 0.8, where denotes the expected return on asset i denotes the standard standard deviation of the return on asset i and pa, denotes the correlation coefficient between the returns on A and B. Now answer the following questions. () What should be the weight w to minimize the variance of the portfolio? (ii) Now, suppose the riskless rate in the market is 0.02. How to construct your optimal portfolio consisting of the two risky and one riskless asset? Please show your method. You don't need to calculate the result. Part C 12. (10 points) Suppose that the points) Suppose that there are two assets (A and B) whose returns are 0, 0.1, H, =02 ,0,15 jointly normally distributed. They are chard racterized as follows: 4 = 0.1, 0.1. H = 0.2, 0, 0,15 and p = 0.8, where denotes the expected return on asset i denotes the standard standard deviation of the return on asset i and pa, denotes the correlation coefficient between the returns on A and B. Now answer the following questions. () What should be the weight w to minimize the variance of the portfolio? (ii) Now, suppose the riskless rate in the market is 0.02. How to construct your optimal portfolio consisting of the two risky and one riskless asset? Please show your method. You don't need to calculate the result