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The next two questions refer to the following data. Variance-covariance matrix LINEET A [0.0196 0.0129...

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The next two questions refer to the following data. Variance-covariance matrix LINEET A [0.0196 0.0129 0.0035] B 0.0129 0.0271 0.0052 c 10.0035 0.0052 0.0072] Bordered variance-covariance matrix A [0.001225 0.001128 0.000352] B 0.001128 0.003315 0.000722 c L0.000352 0.000722 0.0011561 26. The weight of asset B is (a) 25% (b) 35% (c) 40% (d) 75% 27. If the expected return of A is 12%, the expected return of B is 14%, and the expected return of C is 9%, the expected return of the portfolio is (a) 11.30% (b) 11.75% (c) 11.50% (d) 11.95%

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