Consider the Following Data for Assets A,B,and C $\bar { R } _ { A } = 12 \%$

Consider the following data for assets A,B,and C $\bar { R } _ { A } = 12 \%$ ; $\bar { R } _ { B } = 8 \%$ ; $\bar { R } _ { C } = 6 \%$ ; $\beta _ { \mathrm { A } } = 1.1$ ; $\beta _ { B } = 0.8$ ; $\beta _ { C } = 0.9$ ; $\sigma _ { e A } ^ { 2 } = 10$ ; $\sigma _ { e B } ^ { 2 } = 15$ ; $\sigma _ { e C } ^ { 2 } = 5$ .
Assume the variance of the market portfolio is 20 and that a riskless asset exists.Set up the first-order conditions for the optimum risky-asset portfolio.