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Suppose you knew the variance covariance matrix of normally distributed returns is S, the market-value weight of stocks is given by the vector w m

Suppose you knew the variance covariance matrix of normally distributed returns is S, the market-value weight of stocks is given by the vector wm, and the equity risk premium is mm-rf. Assuming the CAPM holds, what is the vector of expected returns on the stocks in the market?

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