Question: Let S 1 , S 2 , S 3 be three risky securities with returns K 1, K 2, K 3 . Suppose that the

Let S1, S2, S3 be three risky securities with returns K1, K2, K3 . Suppose that the expected returns and the covariances are as follows:

Expected returns: Let S1, S2, S3 be three risky securities with returns K1, K2,1 =0.20 K3 . Suppose that the expected returns and the covariances are as2 = 0.10 follows: Expected returns: 1 =0.20 2 = 0.10 3 = 0.15 Standard3 = 0.15

Standard deviations: deviations: 1 = 0.25 2 = 0.15 3 = 0.20 Correlations: 121 = 0.25 = 0.30 23 =0.00 31 = 0.15 Find the weights of the2 = 0.15 minimum variance portfolio. Transcribed image text3 = 0.20

Correlations: image text in transcribed12 = 0.30 image text in transcribed23 =0.00 image text in transcribed31 = 0.15

Find the weights of the minimum variance portfolio.

Transcribed image text

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