Let (w^{mathrm{MVP}}) denote the minimum variance portfolio. Show that, for any frontier portfolio (w^{*}), it holds that

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Let \(w^{\mathrm{MVP}}\) denote the minimum variance portfolio. Show that, for any frontier portfolio \(w^{*}\), it holds that \(\operatorname{Cov}\left(\tilde{r}_{w^{\mathrm{MVP}}}, \tilde{r}_{w^{*}}\right)=1 / C=\sigma^{2}\left(\tilde{r}_{w^{\mathrm{MVP}}}\right)\).

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