What is the beta of a portfolio that invests 35% in A, 35% in B, 10% in C and 20% in the riskless asset?

When performing the calculations, do not round any inputs or interim results until you get the final answer.

Round your final answer to four places after the decimal point.

What is the expected return for that portfolio?

When performing the calculations, do not round any inputs or interim results until you get the final answer.

Round your final answer to four places after the decimal point.

If you create a mean-variance efficient portfolio that has the same expected return as that portfolio, what is the standard deviation of this new portfolio?

When performing the calculations, do not round any inputs or interim results until you get the final answer.

Round your final answer to four places after the decimal point.

Suppose that the correlation between the returns of A and B is 0.25. What is the standard deviation of another portfolio that invests 1/4 in A, 1/4 in B and 1/2 in the riskless asset?

When performing the calculations, do not round any inputs or interim results until you get the final answer.

Round your final answer to four places after the decimal point.

Use this information to answer the following group of 4 questions. If needed, you can use your results from earlier questions in the group as inputs to subsequent questions in the group. We have the following information about stocks A, B and C: The market portfolio has an expected return of 9% and a standard deviation of returns of 12%. The risk-free rate is 3% per year. Assume that the CAPM holds