Suppose the universe of available securities include only two risky stock funds, a and b, and T-bills.

() The correlation between fund a and fund b is 0.20 (i.e., = . ).

	E(r)
Fund a	12%	20%
Fund b	20%	40%
T-bills	2%	0%

(1) If you invest in the two risky funds, what is the lowest level of portfolio volatility you can achieve? What about the expected return of this portfolio? (Hint: Compute the weights and for the global minimum-variance portfolio ; then use the weights to compute E(r) and for G