Abstract
There are two risky assets, k = 1, 2 and one risk-free asset with return of 2%. Risky assets cannot be short sold. The expected returns of the risky assets are μ 1 := 5% and μ 2 := 7.5%. The covariance matrix is:
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Hens, T., Rieger, M.O. (2019). 3 Two-Period Model: Mean-Variance Approach. In: Solutions to Financial Economics. Springer Texts in Business and Economics. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-59889-4_3
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DOI: https://doi.org/10.1007/978-3-662-59889-4_3
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