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2. Suppose that three risk assets S1,S2 and S3 have the same rate of return and variance as in Problem 1 with correlation 12=0.5,13=0.5 and

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2. Suppose that three risk assets S1,S2 and S3 have the same rate of return and variance as in Problem 1 with correlation 12=0.5,13=0.5 and 23=0.2. Find the optimal portfolio with the risk aversion a=8

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