Let S₁, S₂, S₃ be three risky securities with returns K_1, K_2, K₃ . Suppose that the expected returns and the covariances are as follows:

Expected returns: ₁ =0.20 ₂ = 0.10 ₃ = 0.15

Standard deviations: ₁ = 0.25 ₂ = 0.15 ₃ = 0.20

Correlations: ₁₂ = 0.30 ₂₃ =0.00 ₃₁ = 0.15

Find the weights of the minimum variance portfolio.

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