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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Real Estate Investment Strategies Structures Decisions
Authors: David Hartzell, Andrew E. Baum
2nd Edition
1119526094, 978-1119526094
