Question: 5.1 General conditions for CAPM Consider a market with multiple risky assets with expected return ,u and covariance matrix 2. And there is a riskfree

5.1 General conditions for CAPM Consider a market with multiple risky assets with expected return ,u and covariance matrix 2. And there is a riskfree asset with interest rate r. Suppose a is an index that measures investor's preference and type5 investor's Optimal (efcient) allocation proportion is a*(n) = (cm + 02)2_1(,u, re). Under the same market equilibrium condition, show that CAPM still holds

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