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3. (5 points) In the Markowitz Minimum Variance Problem (with all its associated notation and...

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3. (5 points) In the Markowitz Minimum Variance Problem (with all its associated notation and definitions), the random returns on the diversified portfolio and the tangency portfolio are respectively rd, and rt. iait Prove that Cov(rd, rt) 7 (Hint: start by noting that Cov(ri, rj) = Oij is the (i, j)-entry of and use the facts that wa'r and rt r'wt.) rd = 3. (5 points) In the Markowitz Minimum Variance Problem (with all its associated notation and definitions), the random returns on the diversified portfolio and the tangency portfolio are respectively rd, and rt. iait Prove that Cov(rd, rt) 7 (Hint: start by noting that Cov(ri, rj) = Oij is the (i, j)-entry of and use the facts that wa'r and rt r'wt.) rd =

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