Consider a market consisting of two risky assets S1 and S2 such that (σ1,μ1) = (0.1,0.1), (σ2,μ2) = (0.20,0.12) and ρ12= 0.1.
a) Find the weights of the portfolio V that has expected return 4 times that of the minimum variance portfolio.
b) Assume also that there is a risk-free asset with return R= 2%. Determine the weights of the market portfolio.