Using the data describing a universe of risky assets $($found in the attached spreadsheet $-$ Sheet $2),$ and where there is a risk$-$free rate of $4\mathrm{.}5\%,$ find the optimal $($tangent$)$ PF of risky assets in three cases. Assume the variance of the market portfolio is $10.$ a$)(10)$ Where no short sales are allowed. b$)(10)$ Where short sales in the sense of Lintner are allowed. c$)(5)$ For the PF in a$),$ where the investor wishes only $80\%$ of the systematic risk of the optimal, risky PF$,$ how much of the investors capital should be invested in the risk$-$free rate? OWN Security Number $1234567891011121314$ Mean Return $19\mathrm{.}023\mathrm{.}011\mathrm{.}025\mathrm{.}013\mathrm{.}09\mathrm{.}014\mathrm{.}010\mathrm{.}09\mathrm{.}513\mathrm{.}011\mathrm{.}08\mathrm{.}010\mathrm{.}07\mathrm{.}0$ Beta $1\mathrm{.}01\mathrm{.}50\mathrm{.}52\mathrm{.}01\mathrm{.}00\mathrm{.}51\mathrm{.}51\mathrm{.}01\mathrm{.}02\mathrm{.}01\mathrm{.}51\mathrm{.}02\mathrm{.}01\mathrm{.}0$ Idiosyncratic Risk $20\mathrm{.}030\mathrm{.}010\mathrm{.}040\mathrm{.}020\mathrm{.}050\mathrm{.}030\mathrm{.}050\mathrm{.}050\mathrm{.}020\mathrm{.}030\mathrm{.}020\mathrm{.}040\mathrm{.}020\mathrm{.}0$