Assume a mean-variance opportunity set is constructed from two risky shares, A and B, with the variance-covariance matrix for their returns of Share A has an expected return of 25 per cent and share B an expected return of 15 per cent.

Variance-Covariance Matrix

A B

A 0.0064 0

B 0 0.0016

Suppose investor K chooses a 'market portfolio' which consists of 80 per cent in share A and 20 per cent in share B, whereas investor J chooses a different 'market portfolio' with 50 per cent in each share. Calculate investor K's and J's market portfolio's return and standard deviation.Calculate the beta coefficient of share A for each investor. Explain why they differ.