problem: Assume there are 3 risky assets, A, B & C with the following expected returns, standard deviations of returns and correlation coefficients.
E (rA)= 4% S.DEVA=5% rA, B=0.7
E (rB)=5% S.DEVB=7% rA, C=-0.2
E (rC) =15% S.DEVC=10% rB,C=0.3
Think about a world where there are no risk free assets, & just these 3 risky assets. Assume short sales are permitted. Answer for the weights and variance of the global minimum variance portfolio. If short sales are not permitted is the solution affected?