Firm Portfolio Weight Volatility (Standard Deviation) Correlation w/ Market Portfolio A 0.25 14% 0.7 B 0.35 18%
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Question:
Firm | Portfolio Weight | Volatility (Standard Deviation) | Correlation w/ Market Portfolio |
A | 0.25 | 14% | 0.7 |
B | 0.35 | 18% | 0.6 |
C | 0.40 | 15% | 0.5 |
The volatility of the market portfolio is 10%, the expected return on the market is 12%, and the risk-free rate of interest is 4%.
1) Calculate the beta for each stock.
2) Calculate the beta for the portfolio of the three stocks.
3) Calculate the beta for the market.
4) Calculate the expected return for each stock.
5) Calculate the expected return for the portfolio of the three stocks.
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