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Suppose there are three risky assets with the following betas and sigma^2 in j. Suppose also that the variance of RMt - mu ft is

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Suppose there are three risky assets with the following betas and sigma^2 in j. Suppose also that the variance of RMt - mu ft is 0.014. (a) What is the beta of an equally weighted portfolio of these three assets? (b) What is the variance of the excess return on the equally weighted portfolio? (c) What proportion of the total risk of asset 1 is due to market risk? Suppose there are three risky assets with the following betas and sigma^2 in j. Suppose also that the variance of RMt - mu ft is 0.014. (a) What is the beta of an equally weighted portfolio of these three assets? (b) What is the variance of the excess return on the equally weighted portfolio? (c) What proportion of the total risk of asset 1 is due to market risk

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