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

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```									              Sub: Finance                                                            Topic: Portfolio management

Question:
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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