Consider three investments. You are given the following means, standard deviations, and correlations

Consider three investments. You are given the following
means, standard deviations, and correlations for the annual return on these
three investments. The means are 0.12, 0.15, and 0.20. The standard deviations
are 0.20, 0.30, and 0.40. The correlation between stocks 1 and 2 is 0.65,
between stocks 1 and 3 is 0.75, and between stocks 2 and 3 is 0.41. You have
$10,000 to invest and can invest no more than half of your money in any single
stock. Determine the minimum-variance portfolio that yields an expected annual
return of at least 0.14.