Using the table, which describes a universe of risky assets, and where there is a riskfree rate of 4.5%, find the optimal (tangent) portfolio of risky assets WHERE NO SHORT SALES 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