Exercise #8: Provide numerical answers: a. The beta of the risk-free asset is [16] b. The beta of the market portfolio is [17]. c. The
Exercise #8: Provide numerical answers:
a. The beta of the risk-free asset is [16]
b. The beta of the market portfolio is [17].
c. The beta of a portfolio invested 30% in risk-free and 70% in market is [18].
d. If rf=4% and mkt risk premium is 6%, the expected return on the portfolio in c. is .[19]%
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Authors: Bruce Tuckman, Angel Serrat
4th Edition
1119835550, 978-1119835554
