Question: Problem 2. Consider three securities with expected returns Mi 8%, 12 = 10%, 3 = 9%, standard deviations (i = 0.15, 02 = 0.05.03 =

Problem 2. Consider three securities with expected returns Mi 8%, 12 = 10%, 3 = 9%, standard deviations (i = 0.15, 02 = 0.05.03 = 0.12 and correlations P12 = 0.3, Pa3 = 0, P31 = -0.2. Suppose that the risk-free return is R = 5%. Compute the weights in the market portfolio constructed from the three securities. Also compute the expected return and standard deviation of the market portfolio

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