Let us consider an economy with two risky assets with returns (tilde{r}_{1}) and (tilde{r}_{2}). Show that the
Question:
Let us consider an economy with two risky assets with returns \(\tilde{r}_{1}\) and \(\tilde{r}_{2}\). Show that the explicit formula \(w=\left(\mu-\mathbb{E}\left[\tilde{r}_{2}\right]\right) /\left(\mathbb{E}\left[\tilde{r}_{1}\right]-\mathbb{E}\left[\tilde{r}_{2}\right]\right)\) is a special case of formula (3.16) in the case \(N=2\).
Data From (3.16)
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Related Book For
Financial Markets Theory Equilibrium Efficiency And Information
ISBN: 9781447174042
2nd Edition
Authors: Emilio Barucci, Claudio Fontana
Question Posted: