Question 8 5 pts Consider the following four risky assets: Asset Correlations Firm 1 Firm 2 Firm 3 Firm 4 Firm 1 Firm 2 Firm 3 Firm 4 Risk-free Asset Expected Standard Returns Deviation 7.00% 15.00% 9.00% 22.00% 10.00% 28.00% 16.00% 31.00% 6.00% 0.00% Firm 1 Firm 2 Firm 3 Firm 4 1 0.31 0.25 0.05 0.31 1 -0.01 0.14 0.25 -0.01 1 0.2 0.05 0.14 0.2 1 An investor put half her money in Firm 2 and half in Firm 4, resulting in a portfolio with a standard deviation of 20.22%. She wants a portfolio with the same expected return but the lowest risk possible. What weight should she assign to Firm 1 to achieve a portfolio with the same expected return and the lowest standard deviation possible? Note the following: g= 1.75362 0.06611 -0.04089 -0.77884 h = -13.38079 1.47007 1.68944 10.22128 Asset Correaronis Fim 0.05 0.14 Returns Deviation 7.00% 15.00% 9.00% 22.00% 10.00% 28.00% 16.00% 31.00% 6.00% 0.00% Firm 1 Firm 2 Firm 3 Firm 4 Risk-free Asset Firm 1 Firm 2 Firm 3 Firm 4 1 0.31 0.25 0.05 0.31 1 -0.01 0.14 0.25 -0.01 1 0.2 0.2 1 An investor put half her money in Firm 2 and half in Firm 4, resulting in a portfolio with a standard deviation of 20.22%. She wants a portfolio with the same expected return but the lowest risk possible. What weight should she assign to Firm 1 to achieve a portfolio with the same expected return and the lowest standard deviation possible? Note the following: g= 1.75362 0.06611 -0.04089 -0.77884 h = -13.38079 1.47007 1.68944 10.22128 O 8.10% O 61.63% 48.24% O 21.48% 0 68.32%