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Question 5.12: Among all attainable portfolios constructed using three secu...

Among all attainable portfolios constructed using three securities with expected returns μ_1 = 0.20, μ_2 = 0.13, μ_3 = 0.17, standard deviations of returns σ_1 = 0.25, σ_2 = 0.28, σ_3 = 0.20, and correlations between returns ρ_{12 }= 0.30, ρ_{23 }= 0.00, ρ_{31} = 0.15, find the minimum variance portfolio. What are the weights in this portfolio? Also compute the expected return and standard deviation of this portfolio.

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