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If short selling is not allowed then no, clearly you can never get a higher expected return than by putting more weight in a security with a lower expected return. If short selling is allowed then you can immediately get a higher rate of return by shorting some of portfolio B to allow you to buy more of portfolio A. Whether or not this new portfolio will ...


This is not possible because if you want a portfolio with an expected return higher than 10% you need an asset with an expected return higher than 10%. However both asset A and B are lower or equal to 10%. So you can’t create the portfolio, or is leveraging allowed?


Question1: I think you're confused on what you're actually measuring. Don't think about this in terms of trades, think about it in terms of the total value of your portfolio. At day 1 you have 100 dollars, tomorrow you have 110, 2 days from now 115 and a week from now it's back to 105. How many trades you made during that period, how big those positions are ...

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