Suppose that assets 1 and 2 are 24% correlated and have the following expected returns and standard deviations:

What are the weights of a minimum variance portfolio consisting of assets 1 and 2? Has there been an improvement with respect to the risk-adjusted return as a result of allocating capital according to the minimum variance portfolio weights? You can assume a risk-free rate of 1.5% p.a. in answering this question.

Asset o 1 E(R) 14% 8% 9% 4% 2