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There are three risky assets with rates of return r1,r2, and r3, respectively. The covariance matrix and the expected rates of return are =0.40.200.20.40.200.20.4,r=0.040.080.06. (a)

There are three risky assets with rates of return r1,r2, and r3, respectively. The covariance matrix and the expected rates of return are =0.40.200.20.40.200.20.4,r=0.040.080.06. (a) Find the global minimum-variance portfolio. (b) For the required return z=0.075, find (the weight of) the optimal portfolio with risky assets

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