Problem 5. (9 pts) Consider three uncorrelated risky assets in the market. Each of the assets has variance 1 . The mean returns are given by 1,3 , and 9 respectively. The target of this exercise is to find the minimum variance portfolio with the expected return constraint 5X6. a) (3 pts) Find the minimum variance portfolio when there is no expected return constraint. b) (3 pts) Calculate the expected return of the minimum variance portfolio in a). After adding the constraint 5X6, what is the expected return of the new minimum variance portfolio? c) (3 pts) Find the minimum variance portfolio with the expected return constraint 5X6