Consider the following porttolio optimization problem with a risk-tree asset having return To: That is, we minimize the variance of the portfolio consisting of allocations a on risky assets with returns ,1 and allocation (1-OTI) on the risk-free bond with return ro, subject to the constraint that the portfolio's expected return is ,lp. (a) The optimal solution is where P- is the squared Sharpe ratio, and --rol is the vector of excessive return. . (c) When ,lp ro, show that ro+ P1/2Op-Mp, namely, the optimal allocation for the risky asset a is the tangent portfolio (a tangent portfolio is a portfolio on the efficient frontier Consider the following porttolio optimization problem with a risk-tree asset having return To: That is, we minimize the variance of the portfolio consisting of allocations a on risky assets with returns ,1 and allocation (1-OTI) on the risk-free bond with return ro, subject to the constraint that the portfolio's expected return is ,lp. (a) The optimal solution is where P- is the squared Sharpe ratio, and --rol is the vector of excessive return. . (c) When ,lp ro, show that ro+ P1/2Op-Mp, namely, the optimal allocation for the risky asset a is the tangent portfolio (a tangent portfolio is a portfolio on the efficient frontier