You have £24,000 to invest in a portfolio containing X, Y and a risk free asset. You must invest all of your money. Your goal is to create a portfolio that has an expected return of 8.5 per cent and that has only 70 per cent of the risk of the overall market.

If X has an expected return of 12 per cent and a beta of 1.5, Y has an expected return of 9 per cent and a beta of 1.2, and the risk-free rate is 3 per cent, how much money will you invest in X? How do you interpret your answer?