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Question 3 Given generic asset 1 , with expected return 1 and risk sigma 1 , and generic asset 2 , with expected return
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Given generic asset with expected return and risk sigma and generic asset with expected
return and risk sigma let sigma be the covariance between the two assets.
Derive the formulas for a generic proper portfolio phi
p
expected return and risk as a function
of asset weight phi
p
if the proper portfolio has an expected return of what is the proportion invested in
asset
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