Question
Please see attached Image transcription text Francisco constructs a portfolio with two securities: Security Security Weight Security SD (%) Beta (%) CSL Limited (CSL:AX) 35.0
Image transcription text
Francisco constructs a portfolio with two securities: Security Security Weight Security SD (%) Beta (%) CSL Limited (CSL:AX) 35.0 9 0.18 Macquarie Group Limited (MQG:AX) 65.0 17 1.14 The correlation of returns between the two securities is -0.1516. Francisco estimates the expected market return as 13.0% p.a. and a risk-free rate of 4.0%. a) What is the portfolio's beta? (Please answer to 3 decimal places) b) What is the portfolio's expected return? (Please answer to 3 decimal places) c) What is the portfolio's expected standard deviation?
Francisco constructs a portfolio with two securities: Security Weight Security Security SD (%) Beta (%) CSL Limited (CSL:AX) 35.0 9 0.18 Macquarie Group Limited 65.0 17 1.14 (MQG:AX) The correlation of returns between the two securities is -0.1516. Francisco estimates the expected market return as 13.0% p.a. and a risk-free rate of 4.0%. a) What is the portfolio's beta? (Please answer to 3 decimal places) b) What is the portfolio's expected return? % (Please answer to 3 decimal places) c) What is the portfolio's expected standard deviation? %
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Income Tax Fundamentals 2013
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
31st Edition
1111972516, 978-1285586618, 1285586611, 978-1285613109, 978-1111972516
