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Consider a portfolio P with two financial assets over the period t = 1, . .., T. In the absence of rebalancing, the portfolio is

Consider a portfolio P with two financial assets over the period t = 1, . .., T. In the absence of rebalancing, the portfolio is composed of w1 X 100% of asset 1 and w2 = (1 - w1) x 100% of asset 2, with 0

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