You are a hedge fund maximizing the expected return subject to not exceeding a standard deviation of 11%. You do not have access to borrowing or short-selling. a) (2 points) There are only 2 assets available to you with the following annual return characteristics:

Asset 1 Asset 2

exp.return 10% 2%

St.dev. 10% 1%

The correlation between the assets is -0.4. What are your portfolio allocations to assets A and B?