Question
Use the information below to answer 5.2 and 5.3. You own 100 shares of each of the following two stocks: Assume that the single index
Use the information below to answer 5.2 and 5.3. You own 100 shares of each of the following two stocks:
Assume that the single index model holds and that the standard deviation of themarket portfolio is 22%.
[5.2, Mark 1]What is the Beta of this portfolio? Show your calculations
[5.3, Mark 2]What is the residual variance of the returns of the portfolio? Show your calculations.
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Valuation Measuring and managing the values of companies
Authors: Mckinsey, Tim Koller, Marc Goedhart, David Wessel
5th edition
978-0470424650, 9780470889930, 470424656, 470889934, 978-047042470
