Let us consider an economy with (N) risky assets with normally distributed returns (tilde{mathbf{r}}=left(tilde{r}_{1}, ldots, tilde{r}_{N} ight))

Let us consider an economy with \(N\) risky assets with normally distributed returns \(\tilde{\mathbf{r}}=\left(\tilde{r}_{1}, \ldots, \tilde{r}_{N}\right)\) with \(\mathbb{E}\left[\tilde{r}_{n}\right]=\mathbb{E}\left[\tilde{r}_{1}\right]\), for all \(n=2, \ldots, N\), and let \(w^{\mathrm{MVP}}\) denote the minimum variance portfolio. Show that the one fund separation property holds with respect to \(w^{\mathrm{MVP}}\).