Suppose we are considering investing in three securities: X1, X2, and X3. Let o, o, o be individual variances of return. Furthermore, let 012 - 02,1 be the covariance of return between X and X2, 013 - 03.1 the covariance of return between X and X3, 0,3 - 032 the covariance of return between X and X3. The resultant variance-covariance matrix is given as follows: O 01,2 1,3 0.1225 0.0202 0.0044 | |62,1 a 023= |0.0202 0.0144 -0.0067 031 032 o 10.0044 -0.0067 0.0081 ] Which of the following is the appropriate asset allocation decision of the minimum variance portfolio consisting of these three securities? Note: No short sale is allowed. Select one: a. Weight of X1 = 33.33% Weight of X2 = 33.33% Weight of X3 = 33.33% O b. Weight of X1 = 100% Weight of X2 = 0.00% Weight of X3 = 0.00% o c. Weight of X1 = 41.23% Weight of X2 = 58.77% Weight of X3 = 0.00% O d. Weight of X1 = -10% Weight of X2 = 110% Weight of X3 = 0% O e. Weight of X1 = 0.00% Weight of X2 = 41.23% Weight of X3 = 58.77% Suppose we are considering investing in three securities: X1, X2, and X3. Let o, o, o be individual variances of return. Furthermore, let 012 - 02,1 be the covariance of return between X and X2, 013 - 03.1 the covariance of return between X and X3, 0,3 - 032 the covariance of return between X and X3. The resultant variance-covariance matrix is given as follows: O 01,2 1,3 0.1225 0.0202 0.0044 | |62,1 a 023= |0.0202 0.0144 -0.0067 031 032 o 10.0044 -0.0067 0.0081 ] Which of the following is the appropriate asset allocation decision of the minimum variance portfolio consisting of these three securities? Note: No short sale is allowed. Select one: a. Weight of X1 = 33.33% Weight of X2 = 33.33% Weight of X3 = 33.33% O b. Weight of X1 = 100% Weight of X2 = 0.00% Weight of X3 = 0.00% o c. Weight of X1 = 41.23% Weight of X2 = 58.77% Weight of X3 = 0.00% O d. Weight of X1 = -10% Weight of X2 = 110% Weight of X3 = 0% O e. Weight of X1 = 0.00% Weight of X2 = 41.23% Weight of X3 = 58.77%