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4. Show that when Rf = Rmv, the optimal portfolio involves ew* = 0. When Rf = Rmv Rmv = , the optimal portfolio

 

4. Show that when Rf = Rmv, the optimal portfolio involves ew* = 0. When Rf = Rmv Rmv = , the optimal portfolio weights are w* = AV( Re) = XV( e). Pre-multiplying by e, we obtain w* = 1 ^ (e'v-R-e'v-e) = x (a - ) = 0

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