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Find the weights of asset in the portfolio

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Reference no: EM133072246

The variance covariance matrix of three assets is given as:

 

asset1

asset2

asset3

asset1

0.025

0.015

-0.002

asset2

0.015

0.030

0.005

asset3

-0.002

0.005

0.004

The expected returns on asset1, asset2, and asset3 are 10%, 12%, and 7%, respectively. The return on risk-free asset is 5%. Given that the investor would like to minimize risk, 

a. Find the weights of each asset in the portfolio. 

b. Find the portfolio's risk and return at the optimum solution. 

c. Write the dual to the problem.

Reference no: EM133072246

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