The expected return and standard deviation of return on Asset 1 is ER, and o, respectively. The expected return and standard deviation of retum on Asset 2 is ER, and o respectively. The returns on these assets are uncorrelated. Assume that W., of the index (market) portfolio is invested in Asset 1 and W, 2 =1-W of the index (market) portfolio is invested in Asset 2. Use values for ER, = 20%,9, =10%,ER, =10%, 02 = 6% and W,,=0.5. (1) What is the expected return on the zero-beta portfolio? (11) What is the vector of weights in the global minimum-variance portfolio? (11) What is the covariance between the global minimum-variance portfolio and the zero-beta portfolio? (iv) What is the equation of the security market line? The expected return and standard deviation of return on Asset 1 is ER, and o, respectively. The expected return and standard deviation of retum on Asset 2 is ER, and o respectively. The returns on these assets are uncorrelated. Assume that W., of the index (market) portfolio is invested in Asset 1 and W, 2 =1-W of the index (market) portfolio is invested in Asset 2. Use values for ER, = 20%,9, =10%,ER, =10%, 02 = 6% and W,,=0.5. (1) What is the expected return on the zero-beta portfolio? (11) What is the vector of weights in the global minimum-variance portfolio? (11) What is the covariance between the global minimum-variance portfolio and the zero-beta portfolio? (iv) What is the equation of the security market line