 Solution

Using $A$ from part (a), the portfolio variance isThus the minimum-variance correspondence for fixed means has the two branches $\mu =R\pm \sqrt{Av}$. The lower branch is dominated by the upper one with the same variance, and portfolios with mean below $R$ are also dominated by the risk-free position. Consequently the actual mean-variance efficient frontier is the upper capital market line:Its slope in standard-deviation/mean coordinates is the maximal Sharpe ratio $\sqrt{A}$. In variance/mean coordinates it is the upper branch of $v=(\mu -R{)}^2/A$.