3. You are an Investment Analyst at a fund management company, Northland Asset Management Ltd. You are asked to analyze the characteristics of two stocks, Wanaka Holdings Ltd. and Pukaki Consolidated Ltd. Below is a table showing some of the data you have gathered:

Wanaka

Beta = 0.6

Standard deviation = 45%

Covariance with market = 0.0135

Pukaki

beta = 1.6

standard deviation = 40%

covariance with market = 0.036

In addition, you also know that the expected return on the NZX50 (the market index) is 15% and the risk-free rate of interest presently is 6%. Assume that you can borrow and lend at the risk-free rate.

What would be the weight of Wanaka and Pukaki in a portfolio that has exactly the same expected rate of return as the market?This is the question I am struggling with