What is the risk of the efficient portfolio in this case

Reference no: EM132202106

Question - Consider portfolios of three assets with means given by vector

and covariance given by

(a) Find the mean and the variance of the minimum variance portfolio.

(b) Suppose we want to achieve an expected return of 10% by investing in these assets. How do we achieve this efficiently? Find the risk of this portfolio.

(d) Suppose we desire to achieve an expected return of 10%, by in- vesting in the risk free and the risky assets, what is the risk of the efficient portfolio in this case?

Reference no: EM132202106

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