Show that the tangent portfolio with the following expected return results in the market portfolio:

Here 1 is a vector. X_M is a vector with the portfolio weights, rf=risk-free

The tangent portfolio is

= { XM + rs: 1 Xtan = 2-1.( - rf 1) 11 2-1.( rf 1) = { XM + rs: 1 Xtan = 2-1.( - rf 1) 11 2-1.( rf 1)