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Security Expected Return Beta Standard Deviation of Returns A 2.1 0.50 B 8% 0.25 C 1.5 0.50 Risk-Free 1.5% Market Index 7% Consider a portfolio
| Security | Expected Return | Beta | Standard Deviation of Returns |
| A | 2.1 | 0.50 | |
| B | 8% | 0.25 | |
| C | 1.5 | 0.50 | |
| Risk-Free | 1.5% | ||
| Market Index | 7% |
Consider a portfolio that Contain security C and the Risk-Free Asset. The portfolio weight for the risk-free security is -50% and 150% for security C. What is the beta of this portfolio (round to decimal places)
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Volatility Trading
Authors: Euan Sinclair
2nd Edition
1118347137, 9781118347133
