Portfolio beta Consider the following historical returns for Stocks A and B, along with the returns for the market and the risk-free asset at the end of the last 4 years.

You have a total of $80,000 to invest. First, you will put $16,000 in the risk-free asset. You want a portfolio with a beta of .6. The covariance between Stock A and the market is 34.69 %. The covariance between Stock B and the market is 24.55 %.
What percentage of your portfolio will go into A and B, respectively?

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Year Stock A return Stock B return S&P return Risk-free 1 8.65 % 17.43 % 4.79 % 1.32 % 23 2 -4.32 3.74 -4.22 0.24 3 6.39 12.78 5.46 2.01 4 8.32 11.99 10.74 2.91