A 3-asset Markowitz portfolio has the following parameters 0.5 2 -1 0 01 r = S= -1 1 0 X = 22 0.3 0.1 0 0 5 23 associated with the assets P1, P2 and P3 (a) Compute the correlation coefficient p between each pair of assets. (b) Derive the following expression for the Minimum Variance Frontier 2 130 3 (u-25) + (c) Compute the optimal allocation vector x as a function of the risk-aversion parameter t. (d) Considering the Minimum Risk Portfolio, determine its expected return, risk and associated risk-aversion parameter t. (e) Obtain the corresponding parametric equations as a function of t for the feasible set in the form u= u(t) and o2 = o(t) (f) Identify the values of t corresponding to the assets P1, P2 and P3. (g) Construct an optimal unrestricted portfolio for an investor with risk-aversion parameter t= 8 , specifying the expected return, risk and composition of the assets P1, P2 and P3 . A 3-asset Markowitz portfolio has the following parameters 0.5 2 -1 0 01 r = S= -1 1 0 X = 22 0.3 0.1 0 0 5 23 associated with the assets P1, P2 and P3 (a) Compute the correlation coefficient p between each pair of assets. (b) Derive the following expression for the Minimum Variance Frontier 2 130 3 (u-25) + (c) Compute the optimal allocation vector x as a function of the risk-aversion parameter t. (d) Considering the Minimum Risk Portfolio, determine its expected return, risk and associated risk-aversion parameter t. (e) Obtain the corresponding parametric equations as a function of t for the feasible set in the form u= u(t) and o2 = o(t) (f) Identify the values of t corresponding to the assets P1, P2 and P3. (g) Construct an optimal unrestricted portfolio for an investor with risk-aversion parameter t= 8 , specifying the expected return, risk and composition of the assets P1, P2 and P3