Problem 3 (Required, 30 marks) There are N risky assets (N > 3) in the market and short-selling is allowed. The expected return and variance of return of 3 portfolios generated from these N risky asset are given as follows: Expected return Variance of return Portfolio A (WA) 0.25 0.058867 Portfolio B (WB) 0.18 0.060122 Portfolio C(wc) 0.15 0.01289 You are given that Exactly two of the above 3 portfolios (A, B and C) are efficient. The correlation coefficient between these two efficient portfolios is p = 0.885211. . Questions: (a) Find the global minimum variance portfolio. Provide full justification to your answer. (b) An investor is seeking for minimum variance portfolio with expected return at least 11%, find this portfolio and provide full justification to support your answer. Problem 3 (Required, 30 marks) There are N risky assets (N > 3) in the market and short-selling is allowed. The expected return and variance of return of 3 portfolios generated from these N risky asset are given as follows: Expected return Variance of return Portfolio A (WA) 0.25 0.058867 Portfolio B (WB) 0.18 0.060122 Portfolio C(wc) 0.15 0.01289 You are given that Exactly two of the above 3 portfolios (A, B and C) are efficient. The correlation coefficient between these two efficient portfolios is p = 0.885211. . Questions: (a) Find the global minimum variance portfolio. Provide full justification to your answer. (b) An investor is seeking for minimum variance portfolio with expected return at least 11%, find this portfolio and provide full justification to support your