Finance Portfolio management - weights and variance of variance portfolio by ClassOf1


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									              Sub: Finance                                                            Topic: Portfolio management

              Calculation of variance of portfolio.

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              Suppose there are three risky assets, A, B and C with the following expected returns, standard
              deviations of returns and correlation coefficients.

              E (rA)= 4%                  S.DEVA=5%                                A, B=0.7

              E (rB)=5%                   S.DEVB=7%                                A, C=-0.2

              E (rC) =15%                 S.DEVC=10%                               B,C=0.3

              QUESTION 1: Solving for the Global Minimum Variance Portfolio

              Consider a world where there are no risk free assets, and just these three risky assets.
              Suppose short sales are permitted. Solve for the weights and variance of the global 
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