You are an investor who is maximizing the expected return subject to not exceeding the maximum standard deviation you are willing to tolerate. There are 3 assets.

Asset 1 has an expected return of 10% and a standard deviation of 10%.

Asset 2 has an expected return of 7% and a standard deviation of 7%.

Asset 3 has an expected return of 3% and a standard deviation of 3%.

The correlation between asset 1 and asset 2 return is 0.5. The correlation between asset 1 and asset 3 return is 0.5. Finally, the correlation between asset 2 and asset 3 return is 0.5.

In addition to assets 1, 2, and 3, you have access to a risk-free asset with a risk-free rate of 0.3%. You can borrow at the same rate. The maximum standard deviation you are willing to tolerate is 6%. What are your portfolio allocations?