Consider two assets Suppose that the return on asset 1 has expected value 0 06 and standard deviation 0 15 and suppose that the return on asset 2 has expected value 0 03 and standard deviation 0 08 Suppose that the asset returns have correlation 0 35 Consider a portfolio placing weight on asset 1 and weight 1 on asset 2 Let R p denote the return on the portfolio Find the mean, variance, and standard deviation of R p as a function of Display your output Plot the opportunity set Find the minimum variance portfolio Report the weights, mean, and standard deviation of this portfolio Find the tangency portfolio Suppose the risk free rate is 0 003 Report the weights, mean, and standard deviation of this portfolio

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Question: Consider two assets. Suppose that the return on asset 1 has expected value 0.06 and standard deviation 0.15 and suppose that the return on asset

Consider two assets. Suppose that the return on asset 1 has expected value 0.06 and standard deviation 0.15 and suppose that the return on asset 2 has expected value 0.03 and standard deviation 0.08. Suppose that the asset returns have correlation 0.35.

Consider a portfolio placing weight on asset 1 and weight 1- on asset 2. Let Rp denote the return on the portfolio.

Find the mean, variance, and standard deviation of Rp as a function of . Display your output
Plot the opportunity set
Find the minimum-variance portfolio. Report the weights, mean, and standard deviation of this portfolio.
Find the tangency portfolio. Suppose the risk-free rate is 0.003. Report the weights, mean, and standard deviation of this portfolio.

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