Question $3$

Given generic asset $1,$ with expected return $1$ and risk $\backslash$sigma $1,$ and generic asset $2,$ with expected

return $2$ and risk $\backslash$sigma $2,$ let $\backslash$sigma $1,2$ be the covariance between the two assets.

$1.$ Derive the formulas for a generic proper portfolio $\backslash$phi

p

expected return and risk as a function

of asset $1$ weight $\backslash$phi

p

$1$

$2.$ if the proper portfolio has an expected return of $0\mathrm{.}15,$ what is the proportion invested in

asset $1?$