Given three assets whose returns' means, variances, and correlations are

\[\boldsymbol{\mu}=\left[\begin{array}{l}5 \% \\6 \% \\3 \%\end{array}ight] \quad \boldsymbol{\sigma}=\left[\begin{array}{r}6 \% \\8 \% \\10 \%\end{array}ight] \quad ho=\left[\begin{array}{rrr}100 \% & 95 \% & 90 \% \\95 \% & 100 \% & 80 \% \\90 \% & 80 \% & 100 \%\end{array}ight]\]

(a) Compute a,b in Formula 3.10.

(b) What is the MVF evaluated at \(\mu=6 \%\) ?

(c) Graph the MVF for \(0 \leq \mu \leq 12 \%\) in the risk-reward \((\sigma, \mu)\) plane.

(d) Given a risk-free asset with return \(R_{0}=3 \%\), use Formula 3. 11 to calculate the weights of the market portfolio and its risk and reward \(\left(\sigma_{M}, \mu_{M}ight)\), and the slope of the capital market line (CML).