7.5%
0.30
Three assets
\(\bullet\) \(\mu_1\!=\!12\%,\sigma_1\!=\!20\%\)\(\bullet\) \(\mu_2\!=\!5\%,\sigma_2\!=\!10\%\)
\(\bullet\) \(\mu_3\!=\!8\%,\sigma_3\!=\!15\%\)
\(\rho_{13}\!=\!0.30,\ \rho_{23}\!=\!0.50\)
Mean–SD space
Risky portfolio weights along the frontier