Suppose that the risk-free return is equal to the expected return of the GMV portfolio (Rf =
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Suppose that the risk-free return is equal to the expected return of the GMV portfolio (Rf = B/C). Show that there is no tangency portfolio. Hint: Show there are no δ and λ satisfying
δ−1
(μ− Rfι) = λπmu +(1− λ)πgmv .
Recall that we are assuming μ is not a scalar multiple of ι.
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