1. Variance minimisation An investor allocates his wealth among N risky assets. The vector of expected returns of these assets is denoted u and their return covariance matrix is E. (a) The investor's goal is to design his portfolio such that it has the smallest return variance possible (i.e. he wishes to invest in the global minimum variance portfolio). Using a constrained optimization, derive the set of portfolio weights he should choose and interpret your result. 1. Variance minimisation An investor allocates his wealth among N risky assets. The vector of expected returns of these assets is denoted u and their return covariance matrix is E. (a) The investor's goal is to design his portfolio such that it has the smallest return variance possible (i.e. he wishes to invest in the global minimum variance portfolio). Using a constrained optimization, derive the set of portfolio weights he should choose and interpret your result