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0.3 12. In a small stock market, there are three assets. The corresponding covariance matrix and the expected rates of return are [120 0.1 S

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0.3 12. In a small stock market, there are three assets. The corresponding covariance matrix and the expected rates of return are [120 0.1 S = 2 2 1 F= 0.2 0 1 2 (i) Find two minimum-variance portfolios of the mean-variance portfolio optimization problem by setting (1 = 0; x = 1) and (a = 1:=0), respectively. (ii) In addition, there is a risk-free asset with ry = 0.1. Find the efficient portfolio of risky assets specified in the One-Fund Theorem. 0.3 12. In a small stock market, there are three assets. The corresponding covariance matrix and the expected rates of return are [120 0.1 S = 2 2 1 F= 0.2 0 1 2 (i) Find two minimum-variance portfolios of the mean-variance portfolio optimization problem by setting (1 = 0; x = 1) and (a = 1:=0), respectively. (ii) In addition, there is a risk-free asset with ry = 0.1. Find the efficient portfolio of risky assets specified in the One-Fund Theorem

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