The variance covariance matrix of three assets is given as:

	asset1	asset2	asset3
asset1	0.025	0.015	-0.002
asset2		0.030	0.005
asset3			0.004

The expected returns on asset1, asset2, and asset3 are 10%, 12%, and 7%, respectively. The return on risk-free asset is 5%. Given that the investor would like to minimize risk,

a. Find the weights of each asset in the portfolio.

b. Find the portfolios risk and return at the optimum solution.

c. Write the dual to the problem.