Question
A stock has a beta of .9 and an expected return of 11 percent. A risk-free asset currently earns 3.5 percent. a. What is the
| A stock has a beta of .9 and an expected return of 11 percent. A risk-free asset currently earns 3.5 percent. |
| a. | What is the expected return on a portfolio that is equally invested in the two assets? ( |
| Expected return | % |
| b. | If a portfolio of the two assets has a beta of .29, what are the portfolio weights? |
| Portfolio Weight | |
| xS | % |
| xrf | % |
| c. | If a portfolio of the two assets has an expected return of 11.75 percent, what is its beta? (Do not round intermediate calculations. Round your answer to 4 decimal places.) |
| Beta |
| d. | If a portfolio of the two assets has a beta of 1.38, what are the portfolio weights? |
| Porfolio Weight | |
| xS | % |
| xrf | % |
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Capital Market Finance
Authors: Patrice Poncet, Roland Portait, Igor Toder
1st Edition
3030845982, 978-3030845988
