Using the table, which describes a universe of risky assets, and where there is a riskfree rate of 4.5%, find the optimal (tangent) PF of risky assets WHERE SHORT SALES IN THE SENSE OF LINTNER ARE ALLOWED. Assume the variance of the market portfolio is 10.

Security Number 1 2 3 4 5 6 7 8 8 9 10 11 12 13 14 Mean Return 19.0 23.0 11.0 25.0 13.0 9.0 14.0 10.0 9.5 13.0 11.0 8.0 10.0 7.0 Beta 1.0 1.5 0.5 2.0 1.0 0.5 1.5 1.0 1.0 2.0 1.5 1.0 2.0 1.0 Idiosyncratic Risk 20.0 30.0 10.0 40.0 20.0 50.0 30.0 50.0 50.0 20.0 30.0 20.0 40.0 20.0 Security Number 1 2 3 4 5 6 7 8 8 9 10 11 12 13 14 Mean Return 19.0 23.0 11.0 25.0 13.0 9.0 14.0 10.0 9.5 13.0 11.0 8.0 10.0 7.0 Beta 1.0 1.5 0.5 2.0 1.0 0.5 1.5 1.0 1.0 2.0 1.5 1.0 2.0 1.0 Idiosyncratic Risk 20.0 30.0 10.0 40.0 20.0 50.0 30.0 50.0 50.0 20.0 30.0 20.0 40.0 20.0