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Imagine that there arenstocks available in the market.The returns of stockiis given by therandom variableriwhich are IID with meanand variance2.In this question you will divideyour

Imagine that there arenstocks available in the market.The returns of stockiis given by therandom variableriwhich are IID with meanand variance2.In this question you will divideyour wealthKinto each stock, short selling is permitted.

1.What is the maximum expected return you can obtain?

2. For this maximum rate of return, what is the minimum variance portfolio?What is itsvariance?

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