Risk-free asset (20%)

rf return= .02 , Var(rf)= 0, Wrf = 20% of portfolio

Risky assets (80%)

r1 mean = .06 , Var(r1)= 2

r2 mean = .11, Var(r2) =4

Wr1 + Wr2 = .80

The total portfolio is given by R= .2 rf +W1r1 + W2r2, and COV(r1, r2)= 1. Find the weights of the risky assets that equals 80% of total portfolio and minimizes the portfolio variance.