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Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset: portfolio return on portfolio standard deviation of portfolio beta x 14.5%
Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset: |
portfolio | return on portfolio | standard deviation of portfolio | beta |
x | 14.5% | 35% | 1.30 |
y | 13.5 | 30 | 1.25 |
z | 8.4 | 20 | .90 |
market | 11.6 | 25 | 1.00 |
risk-free | 6.0 | 0 | 0 |
Assume that the correlation of returns on Portfolio Y to returns on the market is .86. What is the percentage of Portfolio Ys return that is driven by the market? (Enter your answer as a percent rounded to 2 decimal places. Omit the "%" sign in your response.)
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