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ACCT3501 B. The firm wishes to estimate the beta of a portfolio that consists of two assets X and Y. The investment manager of the
ACCT3501 B. The firm wishes to estimate the beta of a portfolio that consists of two assets X and Y. The investment manager of the firm has gathered the following information on the two assets. Securities Rate of Return Standard Deviation Beta X 20% 20% 1.5 Y 10% 30% 1.0 Risk free asset 5% Table 2. Table 2. alculate: i. the beta of the portfolio if 75% of the funds are invested in Y and 25% in X ii. the portfolio expected return and the portfolio beta if you invest 35% in X,45% in Y, and 20 percent in the risk-free asset iii. Assuming the CAPM applies, if the market's expected return is 13 percent, the riskfree rate is 8
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