  The potential benefits of portfolio diversification have been known to
investors for a long time. Markowitz (1952) suggested the seminal approach for
optimizing the portfolio problem based on finding the weights as budget shares
that minimize the variance of the underlying portfolio. Hatemi-J and El-Khatib
(2015) suggested finding the weights that will result in maximizing the risk
adjusted return of the portfolio. This approach seems to be preferred by the
rational investors since it combines risk and return when the optimal budget
shares are sought for. The current paper provides a general solution for this
risk adjusted return problem that can be utilized for any potential number of
assets that are included in the portfolio.
