**Assignment Task**

**Part A **

Calculate the optimal risky portfolio for the following cases when short sales are allowed. Compute its expected return and the standard deviation of its returns.

**Part B **

Mrs Z’s utility function is given by the following equation:

U_{Z}(R, sigma ^ 2) = R – 0.4sigma ^ 2

For each one of the above cases, find the overall optimal portfolio for Mrs Z and compute its expected return and the standard deviation of its returns.