4. Show that when Rf = Rmv, the optimal portfolio involves ew* = 0. When Rf...

 

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4. Show that when Rf = Rmv, the optimal portfolio involves ew* = 0. When Rf = Rmv Rmv = ‡, the optimal portfolio weights are w* = AV−¹(Ē— Rƒe) = XV−¹(Ē — e). Pre-multiplying by e, we obtain éw* = 1 ^ (e'v-¹R-e'v-¹e²) = x (a - ²) = 0 4. Show that when Rf = Rmv, the optimal portfolio involves ew* = 0. When Rf = Rmv Rmv = ‡, the optimal portfolio weights are w* = AV−¹(Ē— Rƒe) = XV−¹(Ē — e). Pre-multiplying by e, we obtain éw* = 1 ^ (e'v-¹R-e'v-¹e²) = x (a - ²) = 0

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To show that when Rf Rmu the optimal portfolio involves ew 0 lets break down ... View the full answer