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To find the minimum-variance point for any mean return, we consider the Markowitz problem without imposing the mean return constraint, i.e. min 1/2 w middot
To find the minimum-variance point for any mean return, we consider the Markowitz problem without imposing the mean return constraint, i.e. min 1/2 w middot sigma w subject to e middot w = 1 (a) Show that the minimizer w satisfies the equations Sigma w - mu e = 0, e middot w = 1 (b) Solve the equations to find the minimizer. Show that the minimizer equals tow1 found in (2f). (c) To find the efficient frontier, we limit the mean-variance curve to its upper branch which lies above the minimum-variance point. What is the range of c that corresponds to the efficient frontier? To find the minimum-variance point for any mean return, we consider the Markowitz problem without imposing the mean return constraint, i.e. min 1/2 w middot sigma w subject to e middot w = 1 (a) Show that the minimizer w satisfies the equations Sigma w - mu e = 0, e middot w = 1 (b) Solve the equations to find the minimizer. Show that the minimizer equals tow1 found in (2f). (c) To find the efficient frontier, we limit the mean-variance curve to its upper branch which lies above the minimum-variance point. What is the range of c that corresponds to the efficient frontier
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