Suppose we have two assets, ABC and XYZ, with: \begin{tabular}{llr} & \multicolumn{1}{c}{ mean } & volatility \\ ABC(1) & E[R1]=10% & 1=15% \\ XYZ(2) & E[R2]=15% & 2=20% \end{tabular} a. If an investor holds w1=60% in the ABC and w2=40% in XYZ, correlation 1,2= 20%, what is the mean and volatility of the portfolio return? b. If 1,2=1, what weights should we choose to have zero portfolio volatility