Portfolio beta Consider the following historical returns for Stocks A and B, along with the returns for
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Portfolio beta Consider the following historical returns for Stocks A and B, along with the returns for the market and the risk-free asset at the end of the last four years.
You have a total of $80,000 to invest. First, you will put $16,000 in the risk-free asset. You want a portfolio with a beta of .6. The covariance between Stock A and the market is 34.69%. The covariance between Stock B and the market is 24.55%. What percentage of your portfolio will go into A and B, respectively?
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Applied Corporate Finance Making Value Enhancing Decisions In The Real World
ISBN: 9783030816308
2nd Edition
Authors: Mark K. Pyles
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