Question
A $1 million portfolio is currently invested in fund A. Fund A beta is 1.50. The portfolio manager considers switching some of the portfolio into
A $1 million portfolio is currently invested in fund A. Fund A beta is 1.50. The portfolio manager considers switching some of the portfolio into fund B that has a beta of 0.60. What would be the new portfolio dollar allocation (investment in A and in B) that will achieve his portfolio beta of 1.05 goals?
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Financial Markets and Institutions
Authors: Jeff Madura
12th edition
9781337515535, 1337099740, 1337515531, 978-1337099745
