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Prove that the covariance between the minimum variance portfolio (MV) and any other portfolio equals the variance of the minimum variance portfolio. While one can
Prove that the covariance between the minimum variance portfolio (MV) and any other portfolio equals the variance of the minimum variance portfolio. While one can rely on the specific expression for the minimum variance portfolio show this in by way of contradiction. That is, assume that there is an asset for which the above is not true and consider a portfolio that consists of x in the minimum variance portfolio and 1-x in the other portfolio.
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