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2. Suppose a portfolio p contains three assets, A, B, and C, held with respective value weights WA, WB, and wc. Derive an expression for
2. Suppose a portfolio p contains three assets, A, B, and C, held with respective value weights WA, WB, and wc. Derive an expression for the covariance OBp in terms of the value weights (WA, WB, WC), the variance of and the covariances (OBA, OBC). [10 marks] 2. Suppose a portfolio p contains three assets, A, B, and C, held with respective value weights WA, WB, and wc. Derive an expression for the covariance OBp in terms of the value weights (WA, WB, WC), the variance of and the covariances (OBA, OBC). [10 marks]
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