Show that the covariance between the returns (tilde{r}_{w^{* 1}}) and (tilde{r}_{w^{* 2}}) of two frontier portfolios (w^{*
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Show that the covariance between the returns \(\tilde{r}_{w^{* 1}}\) and \(\tilde{r}_{w^{* 2}}\) of two frontier portfolios \(w^{* 1}\) and \(w^{* 2}\) is given by formula (3.24).
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Related Book For
Financial Markets Theory Equilibrium Efficiency And Information
ISBN: 9781447174042
2nd Edition
Authors: Emilio Barucci, Claudio Fontana
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