3. 1 (10 pts) Consider 3 securities with expected returns, standard deviations of returns and correlations...

  

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3. 1 (10 pts) Consider 3 securities with expected returns, standard deviations of returns and correlations between returns given below = 0.2 01 = 0.2 P12 = 2 = 0.11 02 = 0.25 P23 P23 = l3 = 0.05 03 = 0.15 P31 = = P21 0.1 P32 = 0.2 P130.25 (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 y = 15%, find the portfolio with the smallest variance. 3. 1 (10 pts) Consider 3 securities with expected returns, standard deviations of returns and correlations between returns given below = 0.2 01 = 0.2 P12 = 2 = 0.11 02 = 0.25 P23 P23 = l3 = 0.05 03 = 0.15 P31 = = P21 0.1 P32 = 0.2 P130.25 (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 y = 15%, find the portfolio with the smallest variance.