Consider again the case of two risky assets with E () = 15%, 0 = 25%, E (*) = 10%, 02 = 20%. The return correlation is zero. The risk-free return is rf = 4%. 1. Denote 7 = (E(2)) = (0.15)) the expected returns. Denote V the variance- () covariance matrix the risky assets. Write down the matrix and its inverse V-1. (2pts) 2. Consider a mean-variance investor's portfolio choice problem. The objective function is E(F)-gVar (fp), where g represents the risk-aversion. Denote the the weights of the optimal portfolio p that are invested in the two risky assets. Write down the portfolio choice problem. (2pts) 3. Solve the optimal w by deriving the first-order condition. (4pts) vector w= W 4. What is the weight of the risk-free asset? (2pts) 5. Calculate the expected return and standard deviation of this optimal portfolio. (2pts) 6. Calculate the expected return and standard deviation of the tangency portfolio. (2pts)