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:
$$U(w) = E[R_p] - \frac{\gamma}{2}Var[R_p]= w'\mu - \frac{\gamma}{2}w'Vw$$
Where $E$ and $Var$ denote the mean and variance of the uncertain portfolio rate of return $R_p = w'R_{T+1}$ to be realized in time $T + 1$ and $\gamma$ is the relative risk aversion coefficient. The optimal portfolio weights will be:
$$w^* = \frac{1}{\gamma}V^{-1}\mu $$
Could I have a reference that proves this result? preferably a textbook that builds up to it.
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