Suppose that asset returns are uncorrelated, so that is a diagonal matrix, with entries . Then, the weight for each risky asset \(i\) in the optimal portfolio, which also includes the risk-free asset, is

In this simplified case, portfolio weights depend in an obvious way on the risk aversion coefficient , the risk premium, and risk . We also observe that this solution is formally identical to the case of simple capital allocation; see Eq. (8.5).

Data From Equation  (8.5)