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Suppose R=(R1,,Rp)T with cov(R)=. A portfolio is wTR with w=(wl,,wp). Show that (wTR)=wTw=iwidwid and 1=iwidwid Let Bi=midwid, called covariance risk budget, thus iBi=1

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Suppose R=(R1,,Rp)T with cov(R)=. A portfolio is wTR with w=(wl,,wp). Show that (wTR)=wTw=iwidwid and 1=iwidwid Let Bi=midwid, called "covariance risk budget", thus iBi=1

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