Question: 1 (10 pts) Consider 3 securities with expected returns, standard deviations of returns and correlations between returns given below = U1 = 0.2 M2 =

1 (10 pts) Consider 3 securities with expected returns, standard deviations

1 (10 pts) Consider 3 securities with expected returns, standard deviations of returns and correlations between returns given below = U1 = 0.2 M2 = 0.11 M3 0.05 01 = 0.2 02 = 0.25 P12 P21 = 0.1 P23 = P32 0.2 P31 0.25 03 0.15 = P13 (a) Find the minimum variance portfolio. Also find the expected return and standard deviation of the minimum variance portfolio. (b) Among all attainable portfolios with expected return My = 15%, find the portfolio with the smallest variance. 1 (10 pts) Consider 3 securities with expected returns, standard deviations of returns and correlations between returns given below = U1 = 0.2 M2 = 0.11 M3 0.05 01 = 0.2 02 = 0.25 P12 P21 = 0.1 P23 = P32 0.2 P31 0.25 03 0.15 = P13 (a) Find the minimum variance portfolio. Also find the expected return and standard deviation of the minimum variance portfolio. (b) Among all attainable portfolios with expected return My = 15%, find the portfolio with the smallest variance

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