1. Let RA be simple return on asset A, Rg be simple return on asset B and Wo be initial wealth. Assume Riid N(,, o), i = A.B cov (RA, RB) = OAB, Corr(RA, RB) = PAB. where A B and A> OB. Consider the Portolio Return: Rp = CARA + B RB, with A + B = 1. Let q is a quantile of Z~ N(0, 1). = (a) Find the expression for the mean of the portfolio return p = var (Rp). (b) Find the expression for the portfolio Value-at-Risk VaRp.a. (c) Plot against op as functions of A and B when PAB = -1. (d) Plot up against op as functions of A and B when PAB = 1. E[R] and variance