Find the tangency portfolio

Reference no: EM132194257

Question - Find the tangency portfolio associated with the following listed in Table 1. You may assume a risk-free rate of 4% and the variance of the market index is 400.

Table 1 - Securities
Securities	Expected Return	Beta	Unsystematic Risk σ_εi²
1	15	1.5	500
2	11	1.1	625
3	10	1.0	600
4	9	0.9	800
5	7	0.7	600

Reference no: EM132194257

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