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Expected return Standard deviation of return Covariance of stocks return with the return on the market portfolio Stock A 15% 15% 0.0288 Stock B 20%
| Expected return | Standard deviation of return | Covariance of stocks return with the return on the market portfolio | |
| Stock A | 15% | 15% | 0.0288 |
| Stock B | 20% | 25% | 0.0432 |
| Correlation coefficient between returns of Stock A and Stock B | 0.5 |
| Expected return of the market portfolio | 10% |
| Standard deviation of the market portfolio | 12% |
| Risk-free rate | 5% |
What is the beta of Stock A with respect to the market portfolio?
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Introduction To Derivatives And Risk Management
Authors: Robert Brooks, Don M Chance
9th Edition
1133190197, 978-1133190196
