Question 13. Suppose you are a mean-variance optimizer with coefficient of risk aversion A. For now,

suppose there are only 3 risky assets. You split your wealth by investing fractions a1, a2, a3 in assets 1,2,

and 3, respectively. Set up (but do not solve) the problem of finding the minimum variance portfolio. (You

may write this in matrix form, but denote what each vector/matrix is and its size).

Now suppose there is also a risk-free asset in which you invest the fraction 1- a1 -a2 -a3 of your

wealth. Set up (but do not solve) the problem of finding the optimal allocation of wealth. (You may again

write this in matrix form, but denote what each vector/matrix is and its size).