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Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio R P P P X 14.5 % 35 % 1.30
Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset: |
Portfolio | RP | P | P | ||
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?
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