Problem 3. (10 points) Suppose that there are two assets with the following characteristics: Asset Expected return (%) Standard deviation (%) 1 10 5 2 15 10 Correlation = -1 Suppose that it is possible to borrow at the risk-free rate, rf. a) What is the variance of the global minimum variance portfolio if the two assets constitute the investment opportunity set? b) What must be the value of the risk-free rate? Justify your