First of all, your query to retrieve the model country for portfolio 1 should include an ORDER BY
clause otherwise it will just return the country of the first row that matches the WHERE
clause.
Secondly, you could achieve the desired output using inline queries:
SELECT
P.Portfolio
,P.Yield
,P.Duration
,P.Coupon
,SUM(S.MarketValue)
,( SELECT TOP 1 Country FROM dbo.Security WHERE Portfolio = P.Portfolio GROUP BY Country ORDER BY COUNT(*) DESC ) Country
,( SELECT TOP 1 Sector FROM dbo.Security WHERE Portfolio = P.Portfolio GROUP BY Sector ORDER BY COUNT(*) DESC ) Sector
FROM dbo.Port P
INNER JOIN dbo.Security S ON (P.Portfolio = S.Portfolio)
GROUP BY
P.Portfolio
,P.Yield
,P.Duration
,P.Coupon