Suppose that we have two stocks 1 and 2 with the following characteristics: E[R1] = 10%, 01=10%, E[R2] =20%, 02=30%, the correlation between stock 1 and 2 is 0.5. The risk-free return of 5% is available in T-bills. A customer walks into our brokerage firm with all of his $10,000 net worth invested in stock 1. (a) Is there any portfolio that can be constructed with stocks 1, 2, and risk-free security that will make him better off ex ante? What is it? Assume that no short-selling of stocks is allowed. You do not need to find the best portfolio, just a better portfolio. Explain why your portfolio is strictly better than stock 1 alone. (5 marks) Tooden W a ddaad 41. tam 1. 1 . 1