Question
Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio R P P P X 13.5 % 34 % 1.25
| Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset: |
| Portfolio | RP | P | P | ||
| X | 13.5 | % | 34 | % | 1.25 |
| Y | 12.5 | 29 | 1.10 | ||
| Z | 9.3 | 19 | 0.7 | ||
| Market | 11.5 | 24 | 1 | ||
| Risk-free | 5 | 0 | 0 | ||
| Assume that the correlation of returns on Portfolio Y to returns on the market is 0.85. 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.) |
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Finance For IT Decision Makers
Authors: Michael Blackstaff
1st Edition
3540762329, 978-3540762324
