Suppose the risk free rate is r_f = 2% and the expected return on the market is r_m = 6%. Using return data on two assets, asset 1 and asset 2, as well as the market, your investment bank has computed the variances and covariances summarized in the table below:

021 = 0.25 01,2 = 0.10 01,m = 0.08 02,1 = 0. 10 622 = 0.09 62,m = 0.03 Om,1 = 0.08 Om,2 = 0.03 02 m = 0.04