You are given the following means, standard deviations, and correlations for the annual return on three potential

Question:

You are given the following means, standard deviations, and correlations for the annual return on three potential investments. The means are 0.12, 0.15, and 0.20. The standard deviations are 0.20, 0.30, and 0.40. The correlation between 1 and 2 is 0.65, between 1 and 3 is 0.75, and between 2 and 3 is 0.41. You have $100,000 to invest and can invest no more than half of your money in any single investment. Determine the minimum-variance that yields an expected annual return of at least 0.14.

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