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Jeanne Lewis is attempting to evaluate two possible portfolios consisting of the same five assets but held in different proportions. She is particularly interested in
Jeanne Lewis is attempting to evaluate two possible portfolios consisting of the same five assets but held in different proportions. She is particularly interested in using beta to compare the risk of the portfolios and, in this regard, has gathered the data:
Portfolio Weights (%) |
| |||||||
Asset | Asset Beta | Portfolio A | Portfolio B | |||||
1 | 1.26 | 9 | 33 | |||||
2 | 0.69 | 25 | 14 | |||||
3 | 1.27 | 8 | 19 | |||||
4 | 1.11 | 15 | 16 | |||||
5 | 0.86 | 43 | 18 | |||||
Total | 100 | 100 |
a. The beta of portfolio A is ___ , The beta of portfolio B is___ ?
b. The required return of portfolio A is___ , The required return of portfolio A is ____ ?
_
B
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