14 4. Construct an optimum risky portfolio from the following securities using Single - Index model assuming the risk-free return of 5% and the market Index variance of 10(%) when short sales of securities are permitted. Security Expected Return Beta ABC 17 2 10 EFG 12 1 20 JKL 11 1 40 MNO 11 1.5 30 QRS 11 2 40 UVW 7 0.8 16 Compute optimum return & risk. Also, compare your results from a case wherein short sales of securities are not allowed. 14 14 4. Construct an optimum risky portfolio from the following securities using Single - Index model assuming the risk-free return of 5% and the market Index variance of 10(%) when short sales of securities are permitted. Security Expected Return Beta ABC 17 2 10 EFG 12 1 20 JKL 11 1 40 MNO 11 1.5 30 QRS 11 2 40 UVW 7 0.8 16 Compute optimum return & risk. Also, compare your results from a case wherein short sales of securities are not allowed. 14