Question
3) Calculate the portfolio statistics for the following assets: (use portfolio risk and return) (21) weight return variance beta XYZ .35 12 7 1.23 DEF
3) Calculate the portfolio statistics for the following assets: (use portfolio risk and return) (21)
weight return variance beta
XYZ .35 12 7 1.23
DEF .25 9 12 1.98
HIJ .40 15 20 2.98
correlation
XYZ DEF HIJ
XYZ 1.0 -.25 .75
DEF 1.0 .45
HIJ 1.0
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| Portfolio A (.35, .25, .40) | Portfolio B (.45, .25, .30) | Portfolio C (.10, .75, .15) |
| E( R) |
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| Variance |
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| Standard deviation |
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| Beta |
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| CV |
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Project Finance In Construction
Authors: Tony Merna, Yang Chu, Faisal F. Al-Thani
1st Edition
1444334778, 978-1444334777
