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 ight ight) left( mathbb E left tilde r 1 ight mathbb E left tilde r 2 ight ight) ) is a special case of formula (3 16) in the case (N 2 ) ...

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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)

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