**May use excel to answer.

1 (10 pts) Consider 3 securities with expected returns, standard deviations of returns and correlations between returns given below - - P21 = 0.1 Hi 12 0.2 0.11 0.05 01 0.2 P12 02 0.25 P23 = P32 = 0.2 03 = 0.15 P31 = P13 = 0.25 13 = (a) Find the minimum variance portfolio. Also find the expected return and standard deviation of the minimum variance portfolio. (b) Among all attainable portfolios with expected return My 15%, find the portfolio with the smallest variance. 1 (10 pts) Consider 3 securities with expected returns, standard deviations of returns and correlations between returns given below - - P21 = 0.1 Hi 12 0.2 0.11 0.05 01 0.2 P12 02 0.25 P23 = P32 = 0.2 03 = 0.15 P31 = P13 = 0.25 13 = (a) Find the minimum variance portfolio. Also find the expected return and standard deviation of the minimum variance portfolio. (b) Among all attainable portfolios with expected return My 15%, find the portfolio with the smallest variance