Question: Question 1 (50 marks) Given three risky assets with the following joint return distribution. E=5.6%6.4%4.1%,=0.10.380.220.380.160.090.220.090.21 A) Derive the linear system of first order conditions, and

Question 1 (50 marks) Given three risky assets with the following joint return distribution. E=5.6%6.4%4.1%,=0.10.380.220.380.160.090.220.090.21 A) Derive the linear system of first order conditions, and solve the weights and the variance of the global minimum variance portfolio. (25 marks) B) Derive the linear system of first order conditions, and solve the weights and the variance of the minimum variance portfolio with a target return 9%. 125 marks)

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