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The following are estimates for stocks A and B : Stock A: Stock B: E(r) = 12%, E(r) = 17%, =0.7, = 1.1, (e)
The following are estimates for stocks A and B : Stock A: Stock B: E(r) = 12%, E(r) = 17%, =0.7, = 1.1, (e) = 20% (e) = 30% You construct a portfolio (Q) with the following proportions: Stock A: 30%, Stock B: 45%, and T-Bills: 25%. Assume the standard deviation of the market portfolio returns is 21%, the risk-free rate is 7%, and the covariance between the error terms of A and B is zero. What is portfolio Q's: a) non-diversifiable risk? b) diversifiable risk? total risk? d) What is the value of R for portfolio Q?
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To calculate the portfolio Qs risk components and R we need to use the Capital Asset Pricing Model C...
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Fundamentals Of Financial Management
Authors: Eugene F. Brigham, Joel F. Houston
16th Edition
0357517571, 978-0357517574
