Suppose there are three securities with expected returns H1 = 0.3, H2 = 0.1, H3 = 0.2, standard deviations of returns oj = 0.25, 02 = 0.3,63 = 0.20, and correlations between returns P12 = 0.30, p23 = 0.1, P31 = 0.2. (a) (10 pts) Given the expected return Hv = 25%, find the portfolio with the smallest variance, and compute the weights and the standard deviation of this portfolio. (b) (15 pts) Find the portfolio on the efficient frontier with expected return plv 32%. Compute the values of y and y such that the weights w in this portfolio satisfy ywC - p where n = [0.3, 0.1,0.2) and = [1,1,1]. Suppose there are three securities with expected returns H1 = 0.3, H2 = 0.1, H3 = 0.2, standard deviations of returns oj = 0.25, 02 = 0.3,63 = 0.20, and correlations between returns P12 = 0.30, p23 = 0.1, P31 = 0.2. (a) (10 pts) Given the expected return Hv = 25%, find the portfolio with the smallest variance, and compute the weights and the standard deviation of this portfolio. (b) (15 pts) Find the portfolio on the efficient frontier with expected return plv 32%. Compute the values of y and y such that the weights w in this portfolio satisfy ywC - p where n = [0.3, 0.1,0.2) and = [1,1,1]