Question: 1. (10 Points) A set X C R is convex if Ar + (1 - A)y EX, Vo,y EX, AE [0, 1] (1) Show that

1. (10 Points) A set X C R" is convex if Ar + (1 - A)y EX, Vo,y EX, AE [0, 1] (1) Show that the set of frontier portfolios is convex (in the space of portfolio weights). Likewise, show that the set of mean-variance efficient portfolios is convex

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