Question
There are three assets A B C which make up the whole market. They have market cap weights of 15%, 55%, 30%. There is a
There are three assets A B C which make up the whole market. They have market cap weights of 15%, 55%, 30%. There is a minimum variance portfolio with weights -10%, 85%, 25%. The risk free rate is 4%. The risk premium is 10%. The zero beta portfolio has a weight of 20% in Asset C. What is the Beta of the minimum variance portfolio
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Personal Finance
Authors: E Thomas Garman, Raymond E Forgue
10th Edition
143903902X, 9781439039021
