Question 8 5 pts Consider the following four risky assets: Correlations Firm 1 Firm 2 Firm 3 Firm 4 Expected Standard Asset Returns Deviation Firm 1 7.00% 15.00% Firm 2 9.00% 22.00% Firm 3 10.00% 28.00% Firm 4 16.00% 31.00% Risk-free Asset 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: 1.75362 -13.38079 0.06611 1.47007 h = -0.04089 1.68944 -0.77884 10.22128 g= 48.24% O 61.63% O 68.32% O 21.48% O 8.10%