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An optimal portfolio is any set of assets yielding the highest returns for given risk levels (dictated by the efficient frontier). Assuming the risk free asset is available to invest in then a straight line, the capital allocation line (CAL), would be drawn from the risk free rate to the efficient frontier touching the efficient frontier at the point of tangency representing the global market portfolio. The CAL then becomes the efficient frontier. Any point on this line would represent the optimal portfolio combination of the risk free asset with the global market portfolio resulting in the highest Sharpe ratio (highest return for a given level of risk)