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The variance of a portfolio of N assets is given as o; = (xjo:)+ (x, XM), where x, and , are the (d) weight and
The variance of a portfolio of N assets is given as o; = (xjo:)+ (x, XM), where x, and , are the (d) weight and variance of jth asset respectively while k is covariance of asset j and asset k. Let ojand obe the average variance and average covariance of the portfolio respectively, show that ,,T-A- [10 marks]
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