In the context of a mean_variance framework consider an optimizing investor who chooses at time T portfolio weights w so as to maximize the quadratic objective function:
U(w)=E[Rp]−γ2Var[Rp]=w′μ−γ2w′Vw
Where E and Var denote the mean and variance of the uncertain portfolio rate of return Rp=w′RT+1 to be realized in time T+1 and γ is the relative risk aversion coefficient. The optimal portfolio weights will be:
w∗=1γV−1μ
Could I have a reference that proves this result? preferably a textbook that builds up to it.
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