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5. Given the following data: 02=9.7 Security Number Expected Return Beta 02 1 2 3 4 17 12 12 8 9 15 1.1 1.6 2.0

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5. Given the following data: 02=9.7 Security Number Expected Return Beta 02 1 2 3 4 17 12 12 8 9 15 1.1 1.6 2.0 0.8 1.0 1.5 ai 31 22 40 11 20 10 ala (i) What is the optimum portfolio assuming no short sales if risk-free interest rate is 4.5%? (ii) What is the optimum portfolio assuming short sales allowed if risk-free interest rate is 4.5%

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