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1. [30 marks] Consider two risky investments with the following return distributions: Probability 0.25 0.30 0.25 0.20 Expected return Volatility Return R1 (p.a.) +12% +4% -5% -8% My = 1.3500% 01 = 7.6176% Probability 0.30 0.30 0.20 0.20 Expected return Volatility Return R2 (p.a.) +10% +8% +3% -15% The correlation between the returns of the two investments is 212 = 0.9. (a) Calculate M2 and 02. (Read the Instructions carefully.) (b) Express the portfolio squared volatility of in terms of wi, the weight of the first investment. (Round the coefficients to 6 decimals.) (c) Using your answer in part (b), find the weight wi of the minimum-risk portfolio. Hence, find the expected return up and volatility op of the minimum-risk portfolio