An investment adviser is helping a couple plan a retirement portfolio. The adviser has recommended three stocks—Allied Electronics, Bank United, and Consolidated Computers. Following are the annual return and variance for each stock and the covariance between stocks:

The couple wants a total portfolio return of at least 0.11. Determine the proportion of each stock to include in the portfolio to minimize the overall risk.

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Stock Allied Electronics Bank United Consolidated Computers Stock Combination (i, j) A, B A, C B, C Annual Return .14 .10 .12 Covariance 4 .7 .3 Covariance .10 .04 .08