A 3-asset Markowitz portfolio has the following parameters 2 0 21 r = 0.5 0.3 0.1 S= -1 1 0 ? x= 22 0 0 5 23 associated with the assets P1, P2 and Pz. (a) Compute the correlation coefficient p between each pair of assets. (b) Derive the following expression for the Minimum Variance Frontier 02 130 3 (x - ) 2 + 26. (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 o? = 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 2 0 21 r = 0.5 0.3 0.1 S= -1 1 0 ? x= 22 0 0 5 23 associated with the assets P1, P2 and Pz. (a) Compute the correlation coefficient p between each pair of assets. (b) Derive the following expression for the Minimum Variance Frontier 02 130 3 (x - ) 2 + 26. (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 o? = 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