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Barney's cousin, Bette Briggs, has been impressed by his bank's portfolio management and has decided to avail herself of their expertise. Bette has informed
Barney's cousin, Bette Briggs, has been impressed by his bank's portfolio management and has decided to avail herself of their expertise. Bette has informed the bank that she wants a return of 13% on her investment and she has been given details of three stocks X, Y and Z with average annual returns of 13.2%, 17.5%, and 9.7% respectively. Statistical information on these stocks is as follows: variances for X, Y, Z are 0.0012, 0.0023, and 0.00047, while covariances are XY = -0.00019, XZ = 0.0009, and YZ=0.000125. Using the investment model for Barney Briggs's portfolio, find the percentage investments for X, Y and Z that will give Bette an overall return of 13%.
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