Assume two assets in a portfolio: i denote any security and m themarket index.

a) Compute the expected return in the portfolio. (assume thatyou invested x in the security i)

b) Compute the standard deviation of the portfolio

c) Compute the change in the standard deviation of theportfolio after increasing the weight in the security i.

d) Compute the change in the expected return of the portfolioafter increasing the weight in the security i

e) Using your answers in c) and d), calculate the slope of theefficient set at the point in which the portfolio only considers themarket index.

f) Whats the slope of the capital market line?

g) Set both slopes in e) and f) equal to each other. What do youobtain?