Question
Security Return Standard Deviation Beta A 15% 8% 1.2 B 12% 14% 0.9 Risk-free asset 5% ??? ??? What is the value of systematic risk
Security Return Standard Deviation Beta A 15% 8% 1.2 B 12% 14% 0.9 Risk-free asset 5% ??? ??? What is the value of systematic risk for a portfolio with 75% of the funds invested in A and 25% of the funds invested in B? A. 0.98 B. 1.13 C. 1.28 D. 1.40 E. 1.60
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Handbook Of Financial Econometrics
Authors: Yacine Ait-Sahalia, Lars Peter Hansen
1st Edition
044450897X, 978-0444508973
