You Have Collected Some Risk and Return Estimates for Various

You have collected some risk and return estimates for various market indexes. These indexes are the World stock market index of developed markets, the Morgan Stanley Capital International (MSCI) Europe, Australasia and Far East (EAFE) index, and the International Finance Corporation (IFC) Composite index of emerging markets. Here are some risk and return estimates for the future:
$$\begin{array} { l c c } \text { Market } & \text { Return } & \text { Risk } \\\hline \text { Warld } & 10 \% & 16 \% / \\\text { EAFE } & 12 \% & 17 \% \\\text { Camposite } & 15 \% & 25 \%\end{array}$$ All return and risk measures are calculated in U.S. dollars and are expressed in % per year. The correlation matrix is given below:
$$\begin{array} { l c c c } & \text { Warld } & \text { EAFE } & \text { Campasite } \\\hline \text { Warld } & 1.0 & 0.5 & 0.2 \\\text { EAFE } & 0.5 & 1.0 & 0 .1 \\\text { Compasite } & 0.2 & 0.1 & 1.0 \\\hline\end{array}$$ a. Calculate the return and risk of a portfolio invested in the following proportions:
$$\begin{array} { c c c c } \hline \text { Partfalia } & \text { Warld } & \text { EAFE } & \text { Campasite } \\\hline \text { A } & 50 \% & 50 \% &0 \% \\B & 45 \% & 45 \% & 10 \% \\\text { C } & 40 \% & 40 \% & 20 \% \\\hline\end{array}$$ b. Try to derive some estimate of the efficient frontier obtained by using these three indexes
(no short sales are allowed).