Questions Question 1. Three assets A, B, C have expected returns 22,18 and 26. They have covari- ance matrix 4 2 0 2 2 2 0 2 8 The risk-free rate for borrowing is 8 and for lending is 2. The associated tangent portfolios are (1, -0.6,0.6)" and (0.625,0,0.375)". 1. Calculate the correlation coefficient between two tangent portfolios. 2. Find mean-variance efficient portfolios with expected returns 22,25 and 30. 10 marks Questions Question 1. Three assets A, B, C have expected returns 22,18 and 26. They have covari- ance matrix 4 2 0 2 2 2 0 2 8 The risk-free rate for borrowing is 8 and for lending is 2. The associated tangent portfolios are (1, -0.6,0.6)" and (0.625,0,0.375)". 1. Calculate the correlation coefficient between two tangent portfolios. 2. Find mean-variance efficient portfolios with expected returns 22,25 and 30. 10 marks