a. a. Compute the VCOV matrix using any one of the methods you have learnt in class.

b. Assuming that the risk-free rate is 0.1% per month, calculate the efficient portfolio of the 3 assets.

H23456 1 A B Expected Returns Asset 1 1,35% Asset 2 1,50% Asset 3 0,95% C D E Correlations, Assets 1 2 1 0,0006364 F 3 0,0004899 1 0,00017321 1 G H | Stdev Asset 1 0,07745967 Asset 2 0,05477226 Asset 3 0,06324555