# 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.