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Correlation Matrix Google Microsoft Apple Market Portfolio Securities Expected Return E(R;) 19.2% 21.9% 12.0% Standard Deviation oi 36% 35% 25% 1.0 0.7 1.0 Google Microsoft
Correlation Matrix Google Microsoft Apple Market Portfolio Securities Expected Return E(R;) 19.2% 21.9% 12.0% Standard Deviation oi 36% 35% 25% 1.0 0.7 1.0 Google Microsoft Apple Market Portfolio 0.6 0.5 1.0 0.5 0.6 0.4 12.0% 10% 1.0 The risk-free interest rate is 3%. (a) Given the correlation matrix, what is the covariance between Google and the Market? (b) Given the correlation matrix, what is the beta of Microsoft?Show that Microsoft is priced according to the CAPM. (c) What is the expected return and volatility of a portfolio that consists of a long position of $10,000 in Microsoft and a short position of $2,000 in Apple
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