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There are two stocks, stock 1 and stock 2, different risk-free rates. To calculate tangent portfolio, we can maximize a sharpe ration given W1+W2=1, W~weight.

There are two stocks, stock 1 and stock 2, different risk-free rates. To calculate tangent portfolio, we can maximize a sharpe ration given W1+W2=1, W~weight. Also there is a formula, which gives an exact solution. image text in transcribed Can you explain where is this formula derived from? How can I compute optimal weights of tangent portfolio for more than 2 assets.

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