Question 2:

Given three securities:

	Expected Return	Standard Deviation	Correlation of Returns Stock 1 Stock 2 Stock 3
Stock 1	0.15	0.20	1.00	0.20	0.30
Stock 2	0.20	0.30		1.00	0.80
Stock 3	0.08	0.10			1.00

(c) Suppose the risk-free rate is 5%. Someone claims you that an equally weighted portfolio of Stocks 1 to 3 is the tangency portfolio of these three stocks. Do you believe his claim? Justify your answer.