Question: Could you help me answer this question, please? From this formula, it seems we must prove that both the frontier portfolio set & the mean-variance

Could you help me answer this question, please?

From this formula, it seems we must prove that both the frontier portfolio set & the mean-variance efficient portfolio are convex.

1. (10 Points) A set X C R" is convex if Ar + (1 - X)y EX, Vx, y E X, XE [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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