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Standard deviation (%) Beta Security A 30 0.5 Security B 20 1.5 The portfolio is constructed with 40% invested in A, 60% in B. The

Standard deviation (%) Beta

Security A 30 0.5

Security B 20 1.5

The portfolio is constructed with 40% invested in A, 60% in B. The correlation coefficient between A and B is -0.6.

a) What is portfolio Beta?

b) What is the standard deviation of the portfolio?

c) If the expect return for this portfolio is 14% and risk-free rate is 4%, what is the Sharpe ratio?

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