You have a portfolio which consists of 75% of stock 1 (σ^2 = 0.16) and 25% of stock 2 (σ^2 = 0.09). Covariances : σ1,2 =

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You have a portfolio which consists of 75% of stock 1 (σ^2 =
0.16) and 25% of stock 2 (σ^2 = 0.09). Covariances : σ1,2 = 0.02 ,
σ1,m = 0.064 , σ2,m = 0.032 and σ m^2 = 0.04 (market variance).
Expected return of market rm =0.12, risk free rate rf =0.04 and
CAPM is correct. How you would create an effective portfolio which
has the same return as this portfolio (Which capital
goods should be included and which percentage of the funds
should be allocated on each one)