Question
Have a goal of a portfolio beta of 1.1. A portfolio consists of $100 invested in Asset A with beta of 1.4 and $300 in
Have a goal of a portfolio beta of 1.1. A portfolio consists of $100 invested in Asset A with beta of 1.4 and $300 in Asset B with a beta of .6. You have another $400 to invest and want to divide it between Asset C with a beta of 1.6 and a risk-free asset. How much should you invest in the risk-free asset to obtain your desired beta?
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International Finance Transactions Policy And Regulation
Authors: Hal Scott, Anna Gelpern
23rd Edition
1647084105, 978-1647084103
