Problem 10.12 Find the minimum variance portfolio with expected rate of
return of 8% using 5 assets with expected rates of return
? = [0.10, 0.12, 0.05, 0.03, 0.15]$^T$
, standard deviation
? = [0.4, 0.45, 0.15, 0.1, 0.5]$^T$
and covariances $\sigma_{12} = 0.02$, $\sigma_{13} = -0.01$, $\sigma_{14} = 0.005$, $\sigma_{15} = 0.001$, $\sigma_{23} =$
$-0.002$, $\sigma_{24} = 0.001$, $\sigma_{25} = 0.03$, $\sigma_{34} = 0$, $\sigma_{35} = 0.02$ and $\sigma_{45} = -0.02$.
Calculate the minimum variance.
