You have RM100,000 to invest in a portfolio containing a plantation stock, construction stock and a treasury bills.
Assume that you must use all the money available for the investment and you want to create a portfolio that has an expected return of 13.5% and that has only 70 percent of the risk of the overall market.
If the plantation stock has an expected return of 20 percent and a beta of 1.5, construction stock has an expected return of 20 percent and a beta of 1.3, and the risk free asset rate is 7 percent, how much money will you invest in each stock?