Suppose there are 3 risky assets A,B,C
Asset Expected Return Volatility
A 10% 0.2
B 20% 0.3
C 25% 0.4
The correlation between A and B is 0.2 and asset C is uncorrelated with both A and B. Suppose your desired level of rate of return is 20% and you want to fully invest your money. What is your mean-variance optimal portfolio, assuming that portfolio weights add to 1. There are no other restrictions. What is the portfolio volatility.