Question: Consider a single-step market model with n = 2 risky assets, where returns and covariances are given by 1 = 5%, 2 = 2%, 2

Consider a single-step market model with n = 2 risky assets, where returns and covariances are given by

1 = 5%,

2 = 2%,

21 = 5%,

22 = 2%,

c12 = 3%

Let c12 = 3% (the other parameters remain the same). Compute the weights of the minimum variance portfolio.

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