= = 9. (20 pts) Suppose there are three securities with expected returns ji = 0.4, u2 0.2, M3 = 0.1, standard deviations of returns 01 = 0.25,02 0.4,03 0.20, and correlations between returns P12 = 0.30, P23 = 0.1, P31 = 0.2. (a) (10 pts) Given the expected return uv 25%, find the portfolio with the smallest variance, and compute the weights and the standard deviation of this portfolio. (b) (10 pts) Find the portfolio on the efficient frontier with expected return uy = 30%. Compute the values of y and u such that the weights W in this portfolio satisfy ywC = j where m = [0.4,0.2, 0.1) and = = [1,1, 1]. - = = = 9. (20 pts) Suppose there are three securities with expected returns ji = 0.4, u2 0.2, M3 = 0.1, standard deviations of returns 01 = 0.25,02 0.4,03 0.20, and correlations between returns P12 = 0.30, P23 = 0.1, P31 = 0.2. (a) (10 pts) Given the expected return uv 25%, find the portfolio with the smallest variance, and compute the weights and the standard deviation of this portfolio. (b) (10 pts) Find the portfolio on the efficient frontier with expected return uy = 30%. Compute the values of y and u such that the weights W in this portfolio satisfy ywC = j where m = [0.4,0.2, 0.1) and = = [1,1, 1]. - =