This is the asset and risk free weight distribution that minimises portfolio risk given a risk free rate and a target portfolio return.
The total wealth is split between the tangency portfolio and the risk free asset.
It is calculated as:
\(Tangency\, Weight = \frac{Target\, return - r_f}{Expected\, return - r_f}\)
And \(Asset\, Weights = Tangency\, Weight.x_T\) where \(x_T\) is the Tangency Portfolio weights vector
And \(Risk\, Free\, Weight = 1 - Tangency\, Weight\)