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Let R1 be the return of a portfolio on the eicient frontier, and let R2 be the return of another portfolio (not necessarily e'icient) such
Let R1 be the return of a portfolio on the eicient frontier, and let R2 be the return of another portfolio (not necessarily e'icient) such that E[R1] = E[R2]. Prove that cov(R1,R2) = Var(R1). Furthermore, show that R1 and R2 are positively correlated
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