If all returns are joint normally distributed, then R p, ep, and are joint normally distributed

If all returns are joint normally distributed, then R˜ p, e˜p, and ε˜ are joint normally distributed in the orthogonal decomposition R˜ = R˜ p + b˜ep + ˜ε of any return R˜ (because R˜ p is a return and e˜p and ε˜ are excess returns). Assuming all returns are joint normally distributed, use the orthogonal decomposition to compute the optimal return for a CARA investor.