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Market beta just tells your portfolio has low covariance, scaled by variance, with the market. Remember that $$ \beta= \frac{Cov(x,y)}{Var(x)} = \rho\frac{\sigma_x \sigma_y}{\sigma_x^2}=\rho\frac{\sigma_y}{\sigma_x} $$ You can see that it well may be that $\sigma_x<\sigma_y$ but $\rho$ is small enough to have a beta of 0.5. By the way, you can directly ...


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Assuming that $\Sigma$ is invertible, then \begin{align} 2\omega' = \lambda_1\overrightarrow{1}'\Sigma^{-1}+\lambda_2\beta'\Sigma^{-1}. \end{align} We can then solve $\lambda_1$ and $\lambda_2$ from the system of equations \begin{align*} 2 &= \lambda_1\overrightarrow{1}'\Sigma^{-1}\overrightarrow{1}+\lambda_2\beta'\Sigma^{-1}\overrightarrow{1}\\ 2c ...



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