Consider the case of three assets (A,B, and C). The corresponding returns are normally distributed with 0.05 0.0009 0.0006 0 mean i 0.07 and covariance matrix 0.0006 0.0025 0.0007 0.09 0 0.0007 0.0049 = b) For portfolio weights of assets 14 and 1b, determine the expected return and the return volatility (standard deviation of the portfolio. Consider the case of three assets (A,B, and C). The corresponding returns are normally distributed with 0.05 0.0009 0.0006 0 mean i 0.07 and covariance matrix 0.0006 0.0025 0.0007 0.09 0 0.0007 0.0049 = b) For portfolio weights of assets 14 and 1b, determine the expected return and the return volatility (standard deviation of the portfolio