Sodisncsdockccsodcoisdvfidofjasdi d qwi idddsefwenfowediwedmweji,eo.jidwliehflweuifiuwehfs = Problem 2. (10 points) [Excess return space) On the excess return space R, we have Re* proj (1|R). Note that, from the above definition, Re* has the property that E(R) E(RRe*) E(Re*) |E(R) for any R E R. Show that Re* has the highest Sharpe ratio. In fact, show that o(Re*) 0(R) for any R E R. Sodisncsdockccsodcoisdvfidofjasdi d qwi idddsefwenfowediwedmweji,eo.jidwliehflweuifiuwehfs = Problem 2. (10 points) [Excess return space) On the excess return space R, we have Re* proj (1|R). Note that, from the above definition, Re* has the property that E(R) E(RRe*) E(Re*) |E(R) for any R E R. Show that Re* has the highest Sharpe ratio. In fact, show that o(Re*) 0(R) for any R E R