3 Portfolio Choice and Expected Return (25 points) Consider the investment environment with 3 assets, 3 possible future states, and the following [1.3 1.35 0.1 state-return matrix: R = 1.5 1.4 0.5 [0.9 0.8 1.6 1. Find a riskless portfolio. (15 points) 2. Is the portfolio you found in the last part duplicable? Explain why. (5 points) [0.25] 3. Consider the portfolio X = 0.25 . The probability of state 1 (1st row) is 0.4, state 2 (2nd 0.5 row) 0.4, and state 3 (3rd row) 0.2. Find the expected return of this portfolio. (5 points) 2