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Suppose you are the manager of an investment fund. The fund is invested in following three assets with the following investments and betas: Price per
Suppose you are the manager of an investment fund. The fund is invested in following three assets with the following investments and betas: Price per Stock Shares Beta share JPM 50,000 $100 1.60 TGT 20,000 $140 0.30 Plus $2.2 million in T-bills. a. If the market expected rate of return is 9% and the risk-free rate (T-bill return) is 3%, what is the fund's beta and expected rate of return? b. If you invest in JPM and T-Bills only, can you create a portfolio that will have a beta of 0.95? If so, report the weights, dollar investment and the number of shares in JPM and dollar amount in T-Bills (use the same total portfolio value)
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