Is Pink the best mix of Red and White? There’s no rule that says a portfolio has to be an equal mix of two investments. (a) Find the mean and variance of a portfolio that has 60% invested in White and...

Is Pink the best mix of Red and White? There’s no rule that says a portfolio has to be an equal mix of two investments.

(a) Find the mean and variance of a portfolio that has 60% invested in White and 40% invested in Red.

(b) Does the portfolio in (a) outperform Pink in the long run?

(c) How might you find a better mixture of Red and White?