Problem 11-23 Calculating Portfolio Weights [LO 1]

Stock J has a beta of 1.24 and an expected return of 13.36 percent, while Stock K has a beta of 0.79 and an expected return of 10.3 percent. You want a portfolio with the same risk as the market.

Requirement 1:

What is the portfolio weight of each stock? (Do not round intermediate calculations. Round your answers to 4 decimal places (e.g., 32.1616).)

Stock J __________
Stock K ___________

Requirement 2:

What is the expected return of your portfolio? (Do not round intermediate calculations. Enter your answer as a percentage rounded to 2 decimal places (e.g., 32.16).)

Expected return of the portfolio ___________

%