Beta o D (103) 430 x G The ret AF Finding Untitle 6 Merce Used Merce blackboardcdn.com/5b44cfad90f2e/4397041?X-Blackboard-Expiration=1608130800000&X-Blackboard-Signa C38FM SECTION B: (30 marks) Answer ALL questions in this section. Question B1 Assume the risk-free rate is 6% and the market return is 14%. Consider the information below for securities X and Y. Security Security Y 21% 0.17 0.32 0.92 1.22 Expected return Risk (0) Beta 13% Answer the following: (a) Calculate the weights of assets X and Y that will yield a portfolio with an expected return of 0.16. (4 marks) (b) Assuming that the covariance between assets X and Y is -0.02, calculate the total risk of this portfolio. (2 marks) (C) Using the capital asset pricing model (CAPM), determine the required rate of return on the portfolio. (4 marks) (d) Given your answer to part (c), explain whether you would recommend an investor to purchase this portfolio. (Word limit 100) (5 marks) (e) Explain the meaning of beta of a portfolio referring to part (c). (Word limit 100) (5 marks) Total: 20 marks Beta o D (103) 430 x G The ret AF Finding Untitle 6 Merce Used Merce blackboardcdn.com/5b44cfad90f2e/4397041?X-Blackboard-Expiration=1608130800000&X-Blackboard-Signa C38FM SECTION B: (30 marks) Answer ALL questions in this section. Question B1 Assume the risk-free rate is 6% and the market return is 14%. Consider the information below for securities X and Y. Security Security Y 21% 0.17 0.32 0.92 1.22 Expected return Risk (0) Beta 13% Answer the following: (a) Calculate the weights of assets X and Y that will yield a portfolio with an expected return of 0.16. (4 marks) (b) Assuming that the covariance between assets X and Y is -0.02, calculate the total risk of this portfolio. (2 marks) (C) Using the capital asset pricing model (CAPM), determine the required rate of return on the portfolio. (4 marks) (d) Given your answer to part (c), explain whether you would recommend an investor to purchase this portfolio. (Word limit 100) (5 marks) (e) Explain the meaning of beta of a portfolio referring to part (c). (Word limit 100) (5 marks) Total: 20 marks