The portfolio frontier with 2 risky assets only Consider an investor allocating his wealth between 2 risky assets. These assets have expected returns mu_1, and mu_2. return variances sigma_1^2 and sigma_2^2 and return correlation p. Explicitly write down expressions for the mean and variance of the return on the investor's portfolio if he places weight w on the first asset. Derive the portfolio weights that deliver the investor an expected return of exactly mu Assume the investor requires a return of mu exactly. Based on your answer to, express the variance of the portfolio return as a function of p and the model's parameters. Show that in the case where the correlation between returns on the two assets is unity, that the standard deviation of the investor's portfolio is linearly increasing in mu. What does this result imply for the investor's ability to diversify risk in this setting? Show that a portfolio with return variance of zero can be derived if the correlation between returns is -1. What is the significance of this result