Assume the information given in Problem 1 but that short sales are not allowed. Set

up the formulation necessary to solve the portfolio problem. Problem one is in the picture.

1. Assume analysts provide the following types of information. Assume (standard defi- nition) short sales are allowed. What is the optimum portfolio if the lending and bor- rowing rate is 5%? Covariance with Mean Return Standard Deviation Security A B 20 A B 10 12 18 4 10 14 40 70