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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 % 20 % 1.8
Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset: |
Portfolio | RP | P | P | ||
X | 14 | % | 20 | % | 1.8 |
Y | 13 | 15 | 1.30 | ||
Z | 9.2 | 5 | 0.85 | ||
Market | 11.1 | 10 | 1 | ||
Risk-free | 6.6 | 0 | 0 | ||
Assume that the correlation of returns on Portfolio Y to returns on the market is 0.8. What is the percentage of Portfolio Ys return that is driven by the market? (Round your answer to 2 decimal places. Omit the "%" sign in your response.) |
Ys return explained by market | % |
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