Question
Problem 13-5 R-Squared (LO1, CFA7) You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio R p p
Problem 13-5 R-Squared (LO1, CFA7)
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset:
Portfolio Rp p p X 14.0 % 39 % 1.50 Y 13.0 34 1.15 Z 8.5 24 .90 Market 12.0 29 1.00 Risk-free 7.2 0 0
Assume that the correlation of returns on Portfolio Y to returns on the market is .90. What percentage of Portfolio Ys return is driven by the market?
Problem 13-5 R-Squared (LO1, CFA7)
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset:
| Portfolio | Rp | p | p | ||
| X | 14.0 | % | 39 | % | 1.50 |
| Y | 13.0 | 34 | 1.15 | ||
| Z | 8.5 | 24 | .90 | ||
| Market | 12.0 | 29 | 1.00 | ||
| Risk-free | 7.2 | 0 | 0 | ||
Assume that the correlation of returns on Portfolio Y to returns on the market is .90. What percentage of Portfolio Ys return is driven by the market?
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Financial Accounting An Integrated Statements Approach
Authors: Jonathan E. Duchac, James M. Reeve, Carl S. Warren
2nd Edition
324312113, 978-0324312119
