QUESTION $9$

Consider an economy spanned by two risky assets A and $B$ that have the following characteristics:

$E(R_A)=0\mathrm{.}07$;${}_A^2=0\mathrm{.}04$

$E(R_B)=0\mathrm{.}15$;${}_B^2=0\mathrm{.}36$

$AB=-1$

Suppose that you aim for an expected return of $18\%,$ what should be the composition of your portfolio?

A$.Wa=-0\mathrm{.}375,Wb=1\mathrm{.}375$

B$.Wa=0\mathrm{.}375,Wb=0\mathrm{.}625$

C$.Wa=-0\mathrm{.}256,Wb=1\mathrm{.}256$