Question 3(15 marks) Given the following variance-covariance matrix and expected returns vector (for assets X and Y, respectively) for a two asset world: 0.01 -0.027 -0.02 0.04 ) R, = [0.20 0.15) a) What is the expected return of a zero-beta portfolio, given that 50% of the index portfolio is invested in asset X and asset Y? b) What is the covariance between the global minimum-variance portfolio and the zero-beta portfolio? Question 3(15 marks) Given the following variance-covariance matrix and expected returns vector (for assets X and Y, respectively) for a two asset world: 0.01 -0.027 -0.02 0.04 ) R, = [0.20 0.15) a) What is the expected return of a zero-beta portfolio, given that 50% of the index portfolio is invested in asset X and asset Y? b) What is the covariance between the global minimum-variance portfolio and the zero-beta portfolio