Question
A stock has a beta of 1.7 and an expected return of 16.8%. A risk-free asset currently earns 5.7%, if a portfolio of the two
A stock has a beta of 1.7 and an expected return of 16.8%. A risk-free asset currently earns 5.7%, if a portfolio of the two assets has a beta of 0.82, what fraction of the portfolio is in the risky asset?
a. 0.82
b. 0.54
c. 0.48
d. not enough information
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Fundamentals Of Futures And Options Markets
Authors: John C. Hull
4th Edition
0130176028, 9780130176028
