The mean and volatility of the returns on two assets are as follows. Asset i Hi, Expected Return on Asset i 2% 0;, Volatility of Return on Asset i 14% 1 2 9% 29% The correlation between the returns on the two assets is p = 10%. (a) If I allocate 100w% of my wealth to the first asset, then the expected return on my portfolio will be: u(w) = .W+ . (1 w), which is equivalent to (w) = .W. (b) If I allocate 100w% of my wealth to the first asset, then the variance of the return on my portfolio will be: o_(w) = w2 + . (1 w)2 + W. (1 w), which is equivalent to o_(w) = w+ .W+ My investable wealth is $5500 and I have exponential utility with a = 0.001. There are two assets in which I can invest, and the returns on those assets are normally distributed. The mean and volatility of the returns on the assets are given in the following table, and the correlation between the returns is -70%. Asset i Hi, Expected Return on Asset i 7% 1 0;, Volatility of Return on Asset i 18% 26% 2 18% (a) Determine the allocation to the first asset that would maximize my expected utility. Please express your answer as a percentage, to the nearest ten basis points. Utility-Maximizing Allocation = % (b) Determine the allocation to the first asset that would minimize the volatility of the portfolio return. Please express your answer as a percentage, to the nearest ten basis points. Variance-Minimizing Allocation = %