Problem 2: The Efficient Frontier and the CAL (18 points Consider the case of 2 risky assets. Asset 1 has an expected return of 7.00% and a standard deviation of 15.00%. Asset 2 has an expected return of 10.00% and a standard deviation of 22.00%. The correlation coefficient for the two assets is 0.60. The return on the risk-free asset is 1.00%. a. c. 1. [8 points] What are the expected return and standard deviations of the following portfolios? 80% asset 1, 20% asset 2 b. 60% asset 1, 40% asset 2 40% asset 1, 60% asset 2 d. 20% asset 1, 80% asset 2 2. [2 points] What are the expected return and standard deviation from allocating our wealth 20% to the risk-free asset and 80% to the (40,60) (asset 1, asset 2) portfolio? 3. [2 points] What is the slope of the line formed by all possible combinations of the risk-free asset and the (40,60) portfolio? 4. [2 points] What portfolio (selected from all the possible combinations of assets 1 and 2) forms the best possible Capital Allocation Line? The correct answer will define the portfolio according to the weights, e.g. (W1,W2) = (50,50). 5. [2 points] What is the slope of the Capital Market Line (CML)? 6. [2 points] What are the expected return and standard deviation of a portfolio that invests -25% in the risk-free asset and the remainder of the portfolio in the optimal portfolio found in Step #4