11. Let Z = (X1,X2, X3)T be a portfolio of three assets. E(X) 0.50. E(X2-1.5. E(X3) = 2.5, VAR(X)-2, VAR(X2)-3, Var(Xs)-5·PX1.x2-0.6 and X1 and X2 are idependent of X3 (a) Find E(0.3xi +0.3X2 +0.4X3) and Var(0.3X1 +0.3X2 +0.4Xs) (b) Find P[0.3X1 +0.3x2 + 0.4X3 <2). Since z-table isn't provided, just write down the (c) Find the covariance between a portfolio that allocates 1/3 to each of the three assets and a portfolio that allocates 1/2 to each of the first two assets. 11. Let Z = (X1,X2, X3)T be a portfolio of three assets. E(X) 0.50. E(X2-1.5. E(X3) = 2.5, VAR(X)-2, VAR(X2)-3, Var(Xs)-5·PX1.x2-0.6 and X1 and X2 are idependent of X3 (a) Find E(0.3xi +0.3X2 +0.4X3) and Var(0.3X1 +0.3X2 +0.4Xs) (b) Find P[0.3X1 +0.3x2 + 0.4X3
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