Calculating the tangency portfolio weights assets

˜r3 = 0.04 + ˜F + ˜✏3

Covariance matrix of ˜✏1, ˜✏2, ˜✏3, is:
2 4˜F is independent of all ˜✏1, ˜✏2, ˜✏3, and has mean 0 and standard deviation�✏,2,1

0.02 �0.06
0.01

0.08 �0.06
0.02

3. Now, suppose you have a security h whose payoff is:

˜rh = rf + 2 ˜F + ˜✏h