Think of the mean-variance framework in a one-period economy. Show that if there is a risk-free asset,
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Think of the mean-variance framework in a one-period economy. Show that if there is a risk-free asset, then any two mean-variance efficient returns (different from the risk-free return) are either perfectly positively correlated or perfectly negatively correlated.
Is that also true if there is no risk-free asset?
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