Suppose that there are $2$ assets with $r_1=0\mathrm{.}20,{}_1=0\mathrm{.}40,r_2=0\mathrm{.}10,{}_2=0\mathrm{.}25$ and

${}_{12}=0\mathrm{.}005.$

$($a$)$ If $r_0=0\mathrm{.}02,$ what are the market portfolio return and variance? What are the corre$-$

sponding weights $($i$.$e$.$ how much to invest in asset $1,$ asset $2,$ and the risk$-$free asset to

get the market portfolio$)?$ Answer.

$($b$)$ If $r_0=0\mathrm{.}05,$ what are the market portfolio return and variance? What are the corre$-$

sponding weights? $($This is the full question, no other details$)$