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Assume there is a risk-free asset, and assume that a factor model holds in which each factor f1, fk is an excess return. Show

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Assume there is a risk-free asset, and assume that a factor model holds in which each factor f1, fk is an excess return. Show that each return R on the mean-variance frontier equals R + Bj fj j=1 (hint: B; can be interpreted as a regression coefficient and show by contradiction.)

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