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# please help~ thank you Consider the following problem
max f(w) = ou w - (1 - a)w Pw
subject to
why =1
where o E (0, 1), A = [/1, /2, ..., An] are the expected rates of return of n different assets in a portfolio
with weight vector w = [w1, w2, ...,w.] and covariance matrix P = PT &gt; 0.
(a) Find the value of w* that maximizes f(w) and state any conditions to be satisfied.
(b) Use the results in (a) to find the optimum portfolio of 4 stocks with the following characteristics:
#1 = 0.08, /42 = 0.10, /3 = 0.25, / = 0.05, 0; = 0.04, 03 = 0.06, 03 = 0.09, 070.009, 012 = 0.001,
013 = 0.008, 014 = 0, 023 = 0, 024 = 0, 034 = 0.002
If you have \$1 million, how will you set up the portfolio?

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