Question: You are a mean-variance optimizer withA= 2. There are two risky assets and one risk-free asset.E[ra] =.08,E[rB] =.06,V ar[ra] =.10,V ar[rB] =.03, andrf=.03. Compute the

You are a mean-variance optimizer withA= 2. There are two risky assets and one risk-free asset.E[ra] =.08,E[rB] =.06,V ar[ra] =.10,V ar[rB] =.03, andrf=.03. Compute the optimal portfolio three times withCorr(rA,rB) equal to -.5, 0, and .5. Discuss the results.

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