Given the following expected return vector and variance-covariance matrix tor three assets: and given the fact that

Question:

Given the following vector and variance-covariance matrix tor three assets:

Given the following expected return vector and variance-covariance matrix tor

and given the fact that Pie Traynor's risky portfolio is split 50:50 between the two risky assets,
a. Which security of the three must be the riskfree asset? Why?
b. Calculate the expected return and standard deviation of Pie's portfolio.
c. If the riskfree asset makes up 25% of Pie's total portfolio, what are the total portfolio's expected return and standard deviation?

Expected Return
The expected return is the profit or loss an investor anticipates on an investment that has known or anticipated rates of return (RoR). It is calculated by multiplying potential outcomes by the chances of them occurring and then totaling these... Portfolio
A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their fund counterparts, including mutual, exchange-traded and closed funds. A portfolio can also consist of non-publicly...