Question
Assume a portfolio has monthly stock returns with a standard deviation of 0.155, and the standard deviation of the market portfolio of monthly returns is
Assume a portfolio has monthly stock returns with a standard deviation of 0.155, and the standard deviation of the market portfolio of monthly returns is 0.06. The portfolio has an estimated beta of 1.3. Calculate the proportion of the portfolio's stock return variance that represents systematic risk. Is the portfolio well diversified?
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Multinational Business Finance
Authors: David K. Eiteman, Arthur I. Stonehill, Michael H. Moffett
15th edition
134796551, 134796550, 978-0134796550
