Suppose we are given the following pieces of information:

$$ We have a risky stock fund D with E$($rD$)=0\mathrm{.}09$ and $=0\mathrm{.}15$

$$ We also have a risky stock fund $$ with $()=0\mathrm{.}12$ and $=0\mathrm{.}2$

$$ Assume $(,)=0\mathrm{.}0072$

$$ Investor Z has a coefficient of risk aversion A of $7$ and has $$1$ million to invest.

$$ We assume there are only two risky assets in the market: D and E$.$

$$ But we also have the risk$-$free asset, T$-$Bills. $=0\mathrm{.}02$

Part a$.$

Compute the return correlation of stock fund D and E$.$

Part b$.$

Find the weights to construct the optimal tangent portfolio P$.$