Mr. Moroley has just finished reading a textbook about portfolio theory and he is keen to put his new-found knowledge into action with respect to savings of £1000 he wishes to invest. He has identified the efficient frontier for portfolios of risky assets according to the following table.

He has also estimated that the redemption yield on short-dated Treasury bills is 7 per cent and has identified the shape of a typical utility curve given his own attitude towards risk. Points that plot on this utility curve are as follows.

Using this information, construct an appropriate diagram that enables you to identify how Mr. Moroley will split his investment between Treasury bills and the market portfolio.

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Portfolio Expected return (%) Standard deviation (%) A B 4 6 5 4 C 8 5 D 10 8 E 10.6 11 F 11 14