Question: Assume that there are n risky securities whose covariance matrix is C and thc vector of expected returns is Assume that thcrc is a

Assume that there are n risky securities whose covariance matrix is C

Assume that there are n risky securities whose covariance matrix is C and thc vector of expected returns is Assume that thcrc is a risk-frec security with return R. Assume that is a given positive real number Determine the portfolio whose risk is and the expected return is the highest possible.

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