Question 10 (8 points) A money manager is managing the account of a large investor. The investor holds the following stocks Stock A B C D Amount Invested $2,000,000 5,000,000 3,000,000 5,000,000 Estimated Beta 0.80 1.10 1.40 ???? The portfolio's required return is 17%. The risk-free rate is 7% and the market risk premium is 14%. What is Stock D's estimated beta? 1,429 Question 11 (7 points) Suppose the risk free rate is 5% and the market portfolio has an expected return of 10%. The market portfolio has a variance of 0.3. Portfolio Z has a correlation coefficient with the market of 0.5 and a variance of 0.28 According to the CAPM, what is the beta of portfolio Z? 1 0.374 0.14 0.5292 3 Question 12 (7 points) A portfolio manager is holding the following investments: 6 Stock Amount Invested $48 million 60 million 12 million Expected rate ofreturn 6% 8% 10% Z 9 What is the expected return on this three-asset portfolio? 8.0% 8.5%