Question: DO NOT use code 3.1 Exercise: Portfolio Optimization The expected returns of 2 assets are the following: The variance-covariance matrix between the assets () 3.1.1

DO NOT use code

3.1 Exercise: Portfolio Optimization The expected returns of 2 assets are the following: The variance-covariance matrix between the assets () 3.1.1 Lagrange Optimization Form a portfolio with minimum variance subject to budget constraint (sum weights =1 ). (Do not use computer, use paper calculation and calculator (as during the exam) Hint: - Write the formula for portfolio variance, - Write the Langrangian function

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