There are just three assets with rate of return r₁, r₂, and r₃, respectively. The covariance matrix and the expected rates of return are as follows:

		1	1	2					0.2
M=		1	3	1			E(r)=		0.5
		2	1	3					0.6

Consider the portfolio of the three assets.

(keep your answers to 4 decimal places except for (d))

(a) Suppose that the weight vector of portfolio A is W_A = (0.6, 0.2, 0.2), find its expected rate of return __________ and standard deviation of the rate of return __________

(b) Find the weight vector of the minimum-variance portfolio B. W_B = ( __________, __________, __________ )

(c) Let r_A and r_B denote the random rate of return of portfolio A and portfolio B, respectively. Find the covariance between r_A and r_{B __________} , and then determine if r_A and r_B are correlated or not. __________ (Key in 'P' for positively correlated, 'N' for negatively correlated and 'U' for uncorrelated.)

(d) Can we find a portfolio whose rate of return is uncorrelated with that of portfolio A? __________ (key in 'Y' for Yes and 'N' for No.)