Question
Consider the following data for the companies Powergas and Supertech: Pow- ergas has a beta of 0.6, and Supertech has a beta of 1.6. The
Consider the following data for the companies Powergas and Supertech: Pow- ergas has a beta of 0.6, and Supertech has a beta of 1.6. The expected return on the market index is 15% and the risk free rate of interest is 6%.
3.a
How could you form a portfolio of Powergas and Supertech that has exactly the same expected rate of return as the market?
3.b
How could you form a portfolio of Powergas and Supertech that has a ex- pected rate of return of 24%? What is the risk of this portfolio if the corre- lation between Powergas and Supertech is 0.5?
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Options On Futures Workbook Step By Step Exercises And Tests To Help You Master Options On Futures New Trading Strategies
Authors: John F. Summa ,Jonathan W. Lubow
1st Edition
0471436437, 978-0471436430
