T1.1 1,2Ibe the 2,1 2,2 (1 pt) Two risky assets have return rates T1, T2 that are random variables with expected values Ti and T2, respectively. Let matrix of covariances Because 1.2- (1) 2.1 ? 1,2 Consider the portfolio composed of these two assets with weights Wi, W2. Then the variance of the portfolio is El(n- 1)(T2-T2)] and 2,,-E(r2- 2)(n-r)] (Use (1) to replace 2,1 with 1,2, so your answer should not involve 2.1. Type 1.1 as sg11, 1,2 as sg 12, 2.2 as sg22, wl as wl, w2 as w2. ) The expected return rate for the portfolio is (3) Tp = Let Tf be the return rate for a risk-free asset The portfolio F of the one fund theorem, is the combination of risky assets that maximizes (4) Pri (Type T1 as rb1, T2 as rb2.) subject to the constraint For any pair Wi, W2 satisfying (5), it is clear that