An investor has the following investment portfolio Z = a1X + a2 Y with a1 + a2 = 1. Where X and Y are random rate of returns of assets X and Y...

An investor has the following investment portfolio Z = a1X + a2 Y with a1 + a2 = 1. Where X and Y are random rate of returns of assets X and Y respectively and μx= μy = μ, σx = σy = σ. Assuming that these random variables are not independent find the share of each asset (a1 and a2) that minimize the variance (risk) of portfolio Z.

The variance of portfolio z is:222 Z a12 x a2 2 2a1a2 xy x yy Where xy (1) is the correlation between return on x and return on y. We are told that:(2) x y And: (3) a1 a2 1 a2 1 a1 Inserting...