Question: Please answer a Is there a portfolio P1, such that Lucy strictly prefers P1 to B? If so, characterize the portfolio. If not, why? and

Please answer a Is there a portfolio P1, such that Lucy strictly prefers P1 to B? If so, characterize

the portfolio. If not, why? and b. Lucy of course can use all three traded assets to construct her optimal portfolio.

Write down the formal optimization program that can characterize the minimum

variance portfolio set. [Hint: you don't need to set the Lagrangian function or

solve the equation system from the rst-order conditions.]

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