Question
The following information for three assets are given: Stock Beta Expected Return Total Variance of Return AAPL 1.2 14 0.005 MSFT 0.7 8.4 0.0018 PEP
The following information for three assets are given:
Stock Beta Expected Return Total Variance of Return
AAPL 1.2 14 0.005
MSFT 0.7 8.4 0.0018
PEP 0.5 7.3 0.008
i. If the variance of the returnon the market is 0.0012, find the nonsystematic variance for each stock.
ii. Calculate the variance of a portfolio with an allocation of 100 in AAPL, 300 in MSFT and 200 in PEP.
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Foundations of Financial Management
Authors: Stanley Block, Geoffrey Hirt, Bartley Danielsen, Doug Short, Michael Perretta
10th Canadian edition
1259261018, 1259261015, 978-1259024979
