7 Suppose there are three risky assets with the following betas and 2 j j j 2 j 1 0 9 0 010 2 1 1 0 015 3 0 6 0 011 Suppose also that the variance of RMt f t is 0 014 (a) What is the beta of an equally weighted portfolio of these three assets (b) What is the variance of the excess return on the equ...

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7. Suppose there are three risky assets with the following betas and 2 j . j j...

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7. Suppose there are three risky assets with the following betas and σ2 j .

j βj σ2 j

1 0.9 0.010 2 1.1 0.015 3 0.6 0.011 Suppose also that the variance of RMt − μf t is 0.014.

(a) What is the beta of an equally weighted portfolio of these three assets?

(b) What is the variance of the excess return on the equally weighted portfolio?

(c) What proportion of the total risk of asset 1 is due to market risk?

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Statistics And Data Analysis For Financial Engineering With R Examples

ISBN: 9781493926138

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Authors: David Ruppert, David S. Matteson

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7. Suppose there are three risky assets with the following betas and 2 j . j j 2 j 1 0.9 0.010 2 1.1 0.015 3 0.6 0.011 Suppose also that the variance of RMt f t is 0.014. (a) What is the beta of an...
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7. Suppose there are three risky assets with the following betas and 2 j . j j...

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Statistics And Data Analysis For Financial Engineering With R Examples

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