enter image description here

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!

  • $\begingroup$ 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

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.