The Markowitz model, which describes portfolio optimisation in finance, is given as:

(a) When n = 2, write out the Markowitz model in full, and determine the Lagrangian stationary-point solution.

(b) Generalise this to determine the Lagrangian stationary-point solution when n 3.

min titj; i,j=1 s.t. i = i=1 n = 1 1=1 min titj; i,j=1 s.t. i = i=1 n = 1 1=1