suppose that instead of one risky security and one risk-free security, you can invest in two risky securities. Security 1: E(R1) = 8% and 1 = 20%. Security 2: E(R2) = 12% and 2 = 10% with = 0.3.

(a) What weights would you need to place in the two risky securities to earn a 10% expected return?

(b) What is the standard deviation of this portfolio?

(c) Draw the investment opportunity set and highlight the efficient frontier.

(d) What are the weights for the minimum portfolio.

(e) Find the expected return and the standard deviation of the minimum-variance portfolio on the investment opportunity set.