Thread: portforlio (shares) analysis - optimization

I was wondering if anyone can help me with this problem, the question is written first and my problem is stated below it.

an investor has £1300, to invest in a portfolio of three shares

shares 1 2 and 3 yield expected returns of £7/15 , £2/25 , £1/25 respectively to each pound inested, with varianes £3/50 , £9/100 , £11/100 respectively

i am also given the covariances - (i dont have the symbol for the variance sign so i will just use q, which are
q12 = 7/250
q13 = 7/500
q23 = -1/125
also a return of atleast 7% of the avaiable budget is required at min risk, where risk is measured by the variance of the return.

i need to minimize the problem to find the amount that should be invested in each share if the investors whole budget is to be spent.


The problem i am having with this question is the variance. In lectures iv been given examples with out them mentioning the the variance values.

I was wondering how to solve the problem with the variances £3/50 , £9/100 , £11/100 . do i need to manipulate my working out to include the variance?

i have worked out the problem..all i need to use is a variance-covariance matrix...dont need to do anything to the values of the variance.