Portfolio B has the highest Sharpe ratio and is therefore the best tangent portfolio of the corner portfolios. The CAL is the straight line drawn between the risk-free asset and the tangent portfolio. Any portfolio on the CAL has at least as high an expected return as the portfolio on the constrained efficient frontier with the same standard deviation. The CAL portfolio with the same standard deviation as Corner Portfolio A has a higher expected return. This is a combination of the risk-free asset and Portfolio B with weights:

σ_cal = w_Bσ_B + w_rfσ_rf

0.0373 = wB(0.0819) + w_rf(0)

w_B = 0.455 → w_rf = 0.545

The expected return of this CAL portfolio is:

E(R_cal) = w_BR_B + w_rfR_rf

E(R_cal) = 0.455(0.1022) + 0.545(0.04)

E(R_cal) = 0.0683

This portfolio has a higher expected return but the same standard deviation as Corner Portfolio A