X, Y and Z are portfolios of securities. Data pertaining to these portfolios and the market portfolio are given in the following table: Portfolio Std dev(R) E(R) Betai Cov(Ri Rm) Pp.m X 0.28 ? ? 0.015 Y 0.23 ? 1.5 ? 0.92 Z 0.34 0.17 ? 0.048 M ? 0.10 ? 0.02 Also Cov(RR) = 0.04 REQUIRED (a) Calculate the rate of return on a risk free asset (b) Fill in the missing figures (indicated by question mark) (c) (d) Compare the betas and standard deviations of X & Y. How do you explain the fact that X has a lower beta than Y yet a much higher standard deviation? Consider portfolio P below. Without doing any calculations, what is its' beta? Portfolio P Std dev(Ri) 0.30 E(R) .125 betai ? (e) () 0805 (g) (n) The beta of a portfolio comprising of 60% of X and 40% of Y Calculate E(Rp) and the Covariance with the market of the portfolio created in (e). Is the portfolio in (e) efficient? Show calculations Without doing any calculations, what can you say about how efficient Portfolio P is?