Here is the question.

4. Suppose there are three assets: A, B, and C. Asset A's expected return and standard deviation are 1 percent and 1 percent. Asset B has the same expected return and standard deviation as Asset A. However, the correlation coefcient of Assets A and B is 0.25. Asset C's return is independent of the other two assets. The expected return and standard deviation of Asset C are 0.5 percent and 1 percent. (a) Find a portfolio of the three assets that has the smallest variance among all portfolios that yields the expected return of 0.9 percent. b Find a ortfolio of the three assets that has the smallest variance among all p portfolios that yields the expected return of r percent. Find the variance of p the portfolio. (c) Suppose the risk-free rate is zero. Find the tangency portfolio. (d) Suppose an investor's mean-variance utility function is E(r) 0.005 - A - 0'2, where A = 500. Find the investor's optimal portfolio of the three risky assets and the risk-free asset