Weights for a portfolio

Question

Question: Assume the following variance-covariance matrix.

Stock                 1                      2                      3                    E(r)

    1                  0.20                                                                 20%

    2                  0.00                 0.10                                         12%

    3                  0.02                 0.04                 0.18                  16%

 

a. Provide one set of weights for a portfolio of all three assets that will deliver a return of 18%.

b. Show graphically and explain briefly how you would find the minimum variance portfolio set that would have an 18% return.

c. Calculate the above set.