Prove that Re lies at right angles to planes (in Re) of constant mean return, as shown in figure 14.

CHAPTER 5 MEAN-VARIANCE FRONTIER AND BETA REPRESENTATIONS R=space of returns (p=1) R*+wiRe* n' R* Ri=R*+wiRe* +ni 0 Re* 1 E=) E=0 Re = space of excess returns (p=0) Figure 14. Orthogonal decomposition and mean-variance frontier. CHAPTER 5 MEAN-VARIANCE FRONTIER AND BETA REPRESENTATIONS R=space of returns (p=1) R*+wiRe* n' R* Ri=R*+wiRe* +ni 0 Re* 1 E=) E=0 Re = space of excess returns (p=0) Figure 14. Orthogonal decomposition and mean-variance frontier