You have estimated the following single-index model for two asset returns: where , and are uncorrelated random

Question:

You have estimated the following single-index model for two asset returns:

image text in transcribed

where , and are uncorrelated random variables with zero expected value (the expected value of the market return has been included into the constant term of the regression) and standard deviations $20 \%, 30 \%$, and $25 \%$, respectively. The model is expressed in terms of returns, not excess returns. Find the weights of the minimum variance portfolio (we are only considering risky assets, not the risk-free asset).