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Suppose that there are two risky assets with rates of return r 1 and r 2 , which are independent and identically distributed. Show that the equally...

Suppose that there are two risky assets with rates of return r1 and r2, which are independent and identically distributed. Show that the equally weighted port-folio,

i.e. wealth Wis split evenly between these two assets, is an optimal choice for any risk averse investor.

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