Suppose that there are three stocks with rates of return ri,i=1,2,3, respectively. The covariance matrix and the expected rates of return are =3.00%1.20%0.80%1.20%2.40%0.60%0.80%0.60%1.70%,r=15%11%8% Find the mean-variance efficient portfolio with expected return 11%. How is the variance of this portfolio compared to that of the second stock (that has the same expected return)? [Hint: Recall that to calculate x=1r, one can either calculate 1 and do the matrix multiplication, or solve the linear system x=r. Suppose that there are three stocks with rates of return ri,i=1,2,3, respectively. The covariance matrix and the expected rates of return are =3.00%1.20%0.80%1.20%2.40%0.60%0.80%0.60%1.70%,r=15%11%8% Find the mean-variance efficient portfolio with expected return 11%. How is the variance of this portfolio compared to that of the second stock (that has the same expected return)? [Hint: Recall that to calculate x=1r, one can either calculate 1 and do the matrix multiplication, or solve the linear system x=r