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Question: A sufficient condition to produce positively weighted efficient portfolios is that the variance-covariance matrix be diagonal: That is, that = 0, for i ≠ j. By continuity, positively weighted portfolios will result if the off-diagonal elements of the variancecovariance matrix are sufficiently small compared to the diagonal. Consider a transformation of the above matrix in which:

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Basic Finance, Finance

Category:- Basic Finance
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