Question: 5. Given the following data. o? = 9.7 Security Number Expected Retum Beta 1 2 3 2 ei 31 1.1 1.6 40 5 6 8

5. Given the following data. o? = 9.7 Security Number Expected

5. Given the following data. o? = 9.7 Security Number Expected Retum Beta 1 2 3 2 ei 31 1.1 1.6 40 5 6 8 9 (i) What is the optimum portfolio assuming no short sales if risk free interest rate is 4.5%? (ii) What is the optimum portfolio assuming short sales allowed if risk free interest rate is 4.5%

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