Suppose in the market there are three risky assets, A, B, and C. The expected returns of the three securities are r A = 0.08, r3 = 0.1, and rc = 0.07. The variances and correlation of these assets are OA = 2,08 = 3,0c =2,PAB =Pb,c =0.2,andpa,c =0. You are allowed to use software (e.g. Excel) to calculate matrix inverse. (a) Write down the covariance matrix. What are the portfolio weights of minimum variance portfolio? (b) Suppose there exists a risk-free Isset with rate r = 0.02. Calculate the weight for the one-fund. (c) Assuming the existence of the risk-free asset, compute the optimal portfolio with an expected return of 0.08. What is the optimal portfolio with expected return of 0.08, without the existence of the risk-free asset? Suppose in the market there are three risky assets, A, B, and C. The expected returns of the three securities are r A = 0.08, r3 = 0.1, and rc = 0.07. The variances and correlation of these assets are OA = 2,08 = 3,0c =2,PAB =Pb,c =0.2,andpa,c =0. You are allowed to use software (e.g. Excel) to calculate matrix inverse. (a) Write down the covariance matrix. What are the portfolio weights of minimum variance portfolio? (b) Suppose there exists a risk-free Isset with rate r = 0.02. Calculate the weight for the one-fund. (c) Assuming the existence of the risk-free asset, compute the optimal portfolio with an expected return of 0.08. What is the optimal portfolio with expected return of 0.08, without the existence of the risk-free asset