Question: Exercise 182 Suppose Re is a K-dimensional vector of returns with mean p (KX 1) and variance 3 (KXK). Consider the portfolio w'Rt, where w

Exercise 182 Suppose Re is a K-dimensional vector of returns with mean p (KX 1) and variance 3 (KXK). Consider the portfolio w'Rt, where w is the K- dimensional (column) vector of portfolio weights. 1. Derive the portfolio weights for the minimum variance portfolio when ER = p, under the constraint that EU'R u and that the portfolio weights sum to one. 2. Consider the one factor model Ri= at BF + Z Exercise 182 Suppose Re is a K-dimensional vector of returns with mean p (KX 1) and variance 3 (KXK). Consider the portfolio w'Rt, where w is the K- dimensional (column) vector of portfolio weights. 1. Derive the portfolio weights for the minimum variance portfolio when ER = p, under the constraint that EU'R u and that the portfolio weights sum to one. 2. Consider the one factor model Ri= at BF + Z

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