Investing on the CML is widely believed to be better than investing in any one particular security. This question shows the benefits of investing on the CML:

Your investment portfolio consists of $1 million invested in only one stock which is Apple. The expected return of the stock is 11% and the volatility is 46%. The market portfolio has an expected return of 9% and volatility of 22%. The risk free rate is 5%.

Question: Under the CAPM assumptions, what portion of Apples volatility can be eliminated by investing on the CML while having the same expected return as Apple. What portfolio on the CML should you recommend (i.e., find the weights)? Please show all work.