You are given the following market parameters: E(R_m) = 0.15, s_m = 0.10 and r = 0.05. In addition, your favourite share A, has s_A = 0.40 and a correlation coefficient with the market portfolio, r = 0.5.

(i) (2 points) Assume that you require a return from your portfolio of 0.25 at the minimum risk. Explain and use correct numbers, how you will proceed. What is the sigma of that portfolio?

(ii) (3 points) What is the unique risk of your favourite share Alfa?