Question: Three stocks are being considered to form your portfolio. Formulate a non-linear program that will find the portfolio that minimizes risk. The expected (average) daily

Three stocks are being considered to form your portfolio. Formulate a non-linear program that will find the portfolio that minimizes risk.

The expected (average) daily return is rT = [0.0023, 0.0013, 0.0004]

with covariance matrix 

Q = 0.0003 0.0001 0.0001

0.0001 0.0016 0.0002

0.0001 0.0002 0.004

Find a portfolio with an expected return of $0.002 and minimal variance.

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