I've solved part a, but am struggling with b and c. $x_m$ is the market portfolio vector, and I think $T$ should be a diagonal matrix. Any hints greatly appreciated!
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$\begingroup$ Yes, T is a diagonal matrix with $Var(\epsilon_i)$ in (i,i) and zeroes outside the main diagonal. $\endgroup$ – Alex C Apr 11 '19 at 19:19
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