Question: Exercise 4. You are a mean-variance optimizer with A = 2. There are two risky assets and one risk-free asset. E[ra] = .07, E[TB] =

Exercise 4. You are a mean-variance optimizer with A = 2.

Exercise 4. You are a mean-variance optimizer with A = 2. There are two risky assets and one risk-free asset. E[ra] = .07, E[TB] = .05, Var[ra] = .07, Var[rb] =.06, and rf .02. Compute the optimal portfolio twice with Corr(ra, rb) equal to -.5 and .5. Discuss briefly how and why the results differ

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