Suppose that there are three stocks with rates of return ri, i = 1,2,3, respec- tively. The covariance matrix and the expected rates of return are [2.50% 1.00% 0.80% [12% = 1.00% 2.70% 0.50%, F= 9% 0.80% 0.50% 1.60% 7% Find the mean-variance efficient portfolio with expected return 9%. 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= E-li, one can either calculate 2-1 and do the matrix multiplication, or solve the linear system Ex=. Suppose that there are three stocks with rates of return ri, i = 1,2,3, respec- tively. The covariance matrix and the expected rates of return are [2.50% 1.00% 0.80% [12% = 1.00% 2.70% 0.50%, F= 9% 0.80% 0.50% 1.60% 7% Find the mean-variance efficient portfolio with expected return 9%. 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= E-li, one can either calculate 2-1 and do the matrix multiplication, or solve the linear system Ex=