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How to find the minimum variance portfolio?

• posted by: Ryan on 2012-01-06
• tagged: homework, theory
• score: 1

I am doing some revision questions on my Portfolio Theory module, and have come across the following question:

Consider an investor who has constructed a risky portfolio from N securities. The investment opportunity set is described by the equation:

$$\sigma^2 = 10 - 5{\times}E(r) + 0.5\times(E(r))^2$$

Find the minimum variance portfolio.

I can’t find any info in my notes, but my intuition says differentiate, set to zero and rearrange for E(r)?

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