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3. Properties of the Tangency portfolio When risk-averse investors have access to a risk-free asset, as well as a set of risky assets, we have

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3. Properties of the Tangency portfolio When risk-averse investors have access to a risk-free asset, as well as a set of risky assets, we have demonstrated that the efficient frontier is a straight line, linking the combinations of the risk-free asset and T. (a) Suppose an investor holds risky-assets in the proportions dictated by the tangency portfolio. He chooses to change his allocation so as to increase the weight of risky

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