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A fund manager can invest in any combination of the three assets with the following expected returns and standard deviations: Asset1: =2%, =2% Asset2: =6%,
A fund manager can invest in any combination of the three assets with the following expected returns and standard deviations:
Asset1: =2%, =2%
Asset2: =6%, =6%
Asset3: =4%, =4%
All three assets returns are uncorrelated: p12 = p13 = p23 = 0 .
Find a portfolio consisting of these three assets that achieves an expected return of 4% with the lowest risk possible. Show all steps.
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