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  3. 2. consider three assets a, b and c with expected

2. Consider three assets A, B and C with expected returns (A, B, C )=(0.06,...

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2. Consider three assets A, B and C with expected returns (A, B, C )=(0.06, 0.09, 0.12), and return sd (CA, OB, Oc)=(0.2, 0.3, 0.4) with PAB = PAC = Pec =0.4. Determine the minimum-risk portfolio having an expected return of 10% and calculate its return sd. [30]

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