Problem
The return correlation between SNI and KKI is PSNIKKI = 0.0.
Aristotle Amandopolis' portfolio: he has a long position of $10,000 worth of T-Bills, a long position of $5,000 of SNI, a short position of $5,000 of KKI, and a long position of $10,000 of the market index.
1. How much is Aristotle's portfolio worth today?
2. What is the standard deviation of return of Aristotle's portfolio?
3. What is the beta of Aristotle's portfolio?
4. What is the expected return of Aristotle's portfolio?
5. Assume all of Aristotle's wealth is invested in his portfolio.
a. What other portfolio would give Aristotle the lowest risk for the same expected return? Give specific portfolio weights.