Question
The following table presents the three-stock portfolio. Stocks Portfolio Coefficient Expected Standard Weight Beta return deviation A 0.25 0.50 0.40 0.07 B 0.25 0.50 0.25
- The following table presents the three-stock portfolio.
Stocks Portfolio Coefficient Expected Standard
Weight Beta return deviation
A 0.25 0.50 0.40 0.07
B 0.25 0.50 0.25 0.05
C 0.50 1.00 0.21 0.07
The variance of the market returns is 0.06.
- What is the Beta coefficient of the portfolio? (1 mark)
- What is the expected rate of return on the portfolio? (1 mark)
- What is an actual variance of the portfolio, if the following actual covariance between the stocks returns is given: (1 mark)
Cov (rA, rB) = 0.020
Cov (rA, rC) = 0.035
Cov (rB, rC) = 0.035
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access with AI-Powered Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started
Income Tax Fundamentals 2013
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
31st Edition
1111972516, 978-1285586618, 1285586611, 978-1285613109, 978-1111972516
