The mean and volatility of the returns on two assets are as follows. Asset i 1 Hi, Expected Return on Asset i 2% 9% 0i, Volatility of Return on Asset i 12% 27% 2 The correlation between the returns on the two assets is p = 30%. (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 u(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: 0-(w) = w2+ (1 w)2 + .w (1 w), which is equivalent to o_(w) = w2 + . W +