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This problem is from the exercise for Chapter 2 of Kerry Back's Asset Pricing Book. The setup of the problem is rather simple. You want to \begin{equation*} \begin{aligned} & \underset{\phi}{\text{maximize}} & & \phi'\mu + \frac{1}{2} \alpha \phi' \Sigma \phi\\ & \text{subject to} & & 1'\phi = w_0 \end{aligned} \end{equation*} The ...



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