Question
The investor has R60,000 to invest. R15,000 will be invested into the market portfolio, R10,000 into asset A and R25,000 into asset B. The balance
The investor has R60,000 to invest. R15,000 will be invested into the market portfolio, R10,000 into asset A and R25,000 into asset B. The balance will be invested into the risk-free asset. The beta for asset A and asset B is 0.90 and 1.2 respectively. What is the portfolio beta?
A. 0.09
B. 0.90
C. 0.91
D. 0.92
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Financial Risk Manager Handbook
Authors: Philippe Jorion, Global Association Of Risk Professionals
5th Edition
0470479612, 978-0470479612
