Question
Consider the following information for three stocks, A, B, and C that can be put into portfolios with the following allocations. Portfolio AC has 80%
Consider the following information for three stocks, A, B, and C that can be put into portfolios with the following allocations.
- Portfolio AC has 80% of its funds invested in Stock A and 20% in Stock C.
- Portfolio BC has 20% of its funds invested in Stock B and 80% in Stock C.
- Portfolio ABC has one third of its funds invested in each of the three stocks.
| Stock | Expected Return | Standard Deviation | Beta |
| A | 10% | 20% | 1.0 |
| B | 10% | 10% | 1.0 |
| C | 12% | 12% | 1.5 |
Calculate the Beta of Portfolio ABC to the second decimal place.
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Handbook Of Modeling High Frequency Data In Finance
Authors: Frederi G. Viens, Maria Cristina Mariani, Ionut Florescu
1st Edition
0470876883, 978-0470876886
