Question
Stock X has a weight of 10.30% and its Beta is 2.70 with Standard Deviation 35%. Stock Y has a weight of 16.70% and its
Stock X has a weight of 10.30% and its Beta is 2.70 with Standard Deviation 35%. Stock Y has a weight of 16.70% and its Beta is 0.25 with Standard Deviation 40%. Stock Z has a weight of 45% and its Beta is 2.30 with Standard Deviation 45%. Stock Q has a weight of 28% and its Beta is 2.40 with Standard Deviation 40%. i) What is the systematic risk of the portfolio? ii)Which security has the highest systematic risk? Why? iii)Is the systematic risk of the portfolio more or less than the market? Why? iv)Can we claim unsystematic (residual) risk of Stock X is greater than unsystematic risk of Stock Y?
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