The expected return and standard deviation of return of two risky securities is given below

Security

Expected Return

Standard deviation

A

B

$12\%$

$16\%$

$20\%$

$30\%$

Assets A and B are perfectly positively correlated and the risk$-$free rate is $10\%.$ Find the optimal risky portfolio $($i$.$e$.$ weights for security A and B$)$ and show it graphically?

Ordinarily you would not be able to answer this question without tracing out the efficient frontier by solving the Markowitz model. However, since the assets are perfectly positively correlated, you don't need to solve the Markowitz model all combinations of A and B lie on a straight line between them. With that in mind consider what is the best you can do when you combine a riskless asset with the possible risky portfolios $($that lie on the straight line$)$ you face.