Question: Problem 3: There are three assets - which we label 1,2,3 - with excess returns, respectively, of .4,.4 and .8 . All variances are equal

Problem 3: There are three assets - which we label 1,2,3 - with excess returns, respectively, of .4,.4 and .8 . All variances are equal to 2 . The covariance between assets 1 and 3 is equal to zero, while all other covariances are equal to 1 . Denote the return of asset ' i ' by ri. Find the Minimum Variance Portfolio (MVP) and the Mean-Variance Efficient Portfolio (MVE), showing the full derivation in details. Then, assume that the risk free rate is .2, and find the weights of an efficient portfolio. Sketch a diagram to complement the answer. Problem 3: There are three assets - which we label 1,2,3 - with excess returns, respectively, of .4,.4 and .8 . All variances are equal to 2 . The covariance between assets 1 and 3 is equal to zero, while all other covariances are equal to 1 . Denote the return of asset ' i ' by ri. Find the Minimum Variance Portfolio (MVP) and the Mean-Variance Efficient Portfolio (MVE), showing the full derivation in details. Then, assume that the risk free rate is .2, and find the weights of an efficient portfolio. Sketch a diagram to complement the

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