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Derive the minimum-variance portfolio

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Suppose that the market has a risk free asset with return 5 besides n risky assets. Suppose that both lending and borrowing of the risk-free asset are allowed, and short selling is allowed.

(a) Derive the minimum-variance portfolio with the expected return at, and state Why all Ms can he constructed as a linear combination of a particular fund M and the risk-free asset.

(b) Find the fund M.

Reference no: EM133071634

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