10. (Markowitz fun. There are just three assets with rates of return 11, 12 and r3, respec- tively. The covariance matrix and the expected rates of return are 0 = 2 1 -- 0.4 0.8 0.8 9 0 2 (a) Find the minimum-variance portfolio. What is u in this case? (b) Find the optimal portfolio with i = 0.7 directly (i.e., without using the Two Fund Theorem. (c) Find another efficient portfolio by setting 1 = 1, 0, and thus the optimal portfolio with an expected rate of return 1 by the Two Fund Theorem. (d) If the risk-free rate is rp = 0.1, then find the efficient portfolio of risky assets that is required by One-Fund Theorem. = =