Question: 3. Suppose that there are N assets whose returns are jointly normally distributed. Also, portfolios A and B are frontier portfolios, and that they are

3. Suppose that there are N assets whose returns are jointly normally distributed. Also, portfolios A and B are frontier portfolios, and that they are characterized as follows: 4, = 0.2, 0, 0.1, Mg = 0.3, 0g =0.2 and Pus=-0.25. Now answer the following question a. What is the expected retum and the variance of the retum on the minimum variance portfolio? b. Argue if portfolio A is an efficient portfolio or not. c. What should be the variance of the efficient portfolio with an expected retum of 0,25

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