1. (Markowitz fun) There are just three assets with rates of return r1, 12, and r3, respectively. The covariance matrix and the expected rates of return are = 0.75 -0.50 0.25 -0.50 1.00 -0.50 0.25 -0.50 0.75 .5 F = .5 .8 (a) Find the global minimum-variance portfolio. (b) Find another efficient portfolio with = 0. (c) If the risk-free rate is rf = 0.3, find the efficient portfolio of risky assets (that is, the tangent portfolio). (d) For a required return z = 0.4, find the weight of the optimal portfolio with both risk-free and risky assets.