I am reposting this "Statistical Methods for Finance" question, Please get a different expert to answer the question (the previous answer given did not answer the question).

Suppose R=(R1,,Rp)T with cov(R)=. A portfolio is wTR with w=(wl,,wp). Show that (wTR)=wTw=iwidwid and 1=iwidwid Let Bi=midwid, called "covariance risk budget", thus iBi=1 Suppose R=(R1,,Rp)T with cov(R)=. A portfolio is wTR with w=(wl,,wp). Show that (wTR)=wTw=iwidwid and 1=iwidwid Let Bi=midwid, called "covariance risk budget", thus iBi=1