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Calculating the tangency portfolio weights assets

˜r3 = 0.04 + ˜F + ˜3

Covariance matrix of ˜1, ˜2, ˜3, is:
2 4˜F is independent of all ˜1, ˜2, ˜3, and has mean 0 and standard deviation�✏,2,1

0.02 0.06
0.01

0.08 0.06
0.02

3. Now, suppose you have a security h whose payoff is:

˜rh = rf + 2 ˜F + ˜✏h

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