There are three assets with rates of return r1, 72, 73 such that the mean and covariance matrix are:4 210 H = 0.8 and T = 1 2 0.8 0 1 2 (a) Find the...
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for point a to d 4. There are three assets with rates of return r1, 72, 73 such that the mean
and covariance matrix are:
0.4
210
H =
0.8
and T =
1 2
0.8
0 1
2
(a) Find the minimum-variance portfolio. Note that by symmetry,
you may take w1 = W3.
(b) Find another portfolio by setting A1 = 1, 12 = 0.
(c) Normalized this portfolio.
(d) If the risk-free rate is uf = 0.2, find the efficient portfolio of risky
assets.

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