A)Calculate the portfolio statistics for the following assets: (use portfolio risk and return) (21)

weight return variance beta

XYZ .35 12 7 1.23

DEF .25 9 12 1.98

HIJ .40 15 20 2.98

correlation

XYZ DEF HIJ

XYZ 1.0 -.25 .75

DEF 1.0 .45

HIJ 1.0

	Portfolio A (.35, .25, .40)	Portfolio B (.45, .25, .30)	Portfolio C (.10, .75, .15)
E( R)
Variance
Standard deviation
Beta
CV

B) If the risk free rate of return is 3.75% and the stock market averages 12%,

what is the expected return on the portfolios using the SML? 6 points

Portfolio	Expected Return
A
B
C