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2. There are just three assets with rates of return 11, 12 and 13, respectively. The covariance matrix is 201 V = 0 2 1

2. There are just three assets with rates of return 11, 12 and 13, respectively. The covariance matrix is 201 V = 0 2 1 [112] Find the minimum-variance portfolio. [15 marks] Solution

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