Question
A portfolio consists of three stocks: Stock A, Stock B, and Stock C. The table below provides the covariances between the returns of each
A portfolio consists of three stocks: Stock A, Stock B, and Stock C. The table below provides the covariances between the returns of each pair of stocks, the expected return for each stock, and the proportion of the portfolio's value that is represented by each stock. Calculate the beta of Stock A with the portfolio. Stock A Stock B Stock C Expected Return Stock A Stock B Stock C 0.360 0.018 -0.090 1.4887 1.5780 O 1.3101 1.2208 1.3994 0.018 -0.090 0.040 0.024 0.024 0.090 0.27 0.18 0.11 Weight 0.25 0.25 0.5
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Global Investments
Authors: Bruno Solnik, Dennis McLeavey
6th edition
321527704, 978-0321527707
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