Min{Var(R)}=9.97117+2×0.95∑_(i=1)^3▒〖αi Cov (r,ri )〗+〖0.95〗^2 ∑_(i,j=1)^3▒〖αi αj Cov(ri,rj ) 〗
s.t. E(R)=-17.4%+0.95×1.525%α0+0.95∑_(i=1)^3▒〖αi E(ri ) 〗α0+∑_(i=1)^3▒αi ri=1α2≤0.63α3≤0.32α0,αi≥0, (i=1,2,3)