Consider three uncorrelated stocks in the market. Each stock has variance 1. The expected returns are given by 2, 3 and 5 respectively.

Consider three uncorrelated stocks in the market. Each stock has variance 1. The expected re- turns are given by 2, 3 and 5 respectively. Find the optimal mean-variance portfolio min wCf under the feasible portfolio constraint wi +w2+ws - 1 and the fixed risk constraint = 2