Hi! :welcome: We are glad that you posted here! This looks like a homework question though. Our homework help policy can be found here. We mainly just want to see what you have tried so far and that you have put some effort into the problem. I would also suggest checking out this thread for some guidelines on smart posting behavior that can help you get answers that are better much more quickly.
Thanks! I am sorry to reply you so late. I think this is the right answer, it is a question of a hedge fund company, but I didn't pass the interview, so I was eager to know the answer. I shouldn't forget that the correlation matrix should be positive-definite.