Question: Markowitz optimization: consider the following two risky assets r1 and r2 with the following properties: E(r1)=0.08; SD(r1)=0.10 E(r2)=0.09; SD(r2)=0.11 COV(r1,r2)= -0.010 Risk-free rate = 0.02

Markowitz optimization: consider the following two risky assets r1 and r2 with the following properties: E(r1)=0.08; SD(r1)=0.10 E(r2)=0.09; SD(r2)=0.11 COV(r1,r2)= -0.010 Risk-free rate = 0.02 What is the expected return and standard deviation of the optimal portfolio? Hint: you need to find optimal weights w1 and w2 first.

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