Starting with (N) assets, construct two portfolios (P_{1}, P_{2}) with corresponding allocations (left{w_{11}, ldots, w_{1 N}ight}), and

Question:

Starting with $N$ assets, construct two portfolios $P_{1}, P_{2}$ with corresponding allocations $\left\{w_{11}, \ldots, w_{1 N}ight\}$, and $\left\{w_{21}, \ldots, w_{2 N}ight\}$. Create a new portfolio $P$ from $P_{1}, P_{2}$ with corresponding allocations of $w_{1}, 1-w_{1}$ to $P_{1}, P_{2}$. What is the allocation of the $i$ th asset in $P$ ?

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