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6. There are 3 assets. The following information is available about the assets: Asset Expected return Expected standard Beta deviation A .10 .04 1.1 .14

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6. There are 3 assets. The following information is available about the assets: Asset Expected return Expected standard Beta deviation A .10 .04 1.1 .14 .06 .04 1.5 0.0 a. (5 points) What is the expected return on a portfolio that is 1/3 invested in each asset? b. (5 points) What is the Beta of a portfolio that is 50% A and 50% C? C. (5 points) If you wanted to have a portfolio with a Beta of 1.04 and had 20% in asset C, what percentages would you invest in A and B

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