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You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio R p p p X 16.0 % 32
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset:
Portfolio | Rp | p | p | ||
X | 16.0 | % | 32 | % | 1.90 |
Y | 15.0 | 27 | 1.25 | ||
Z | 7.3 | 17 | .75 | ||
Market | 11.3 | 22 | 1.00 | ||
Risk-free | 5.8 | 0 | 0 | ||
Assume that the correlation of returns on Portfolio Y to returns on the market is .83. What percentage of Portfolio Ys return is driven by the market? (Enter your answer as a decimal not a percentage. Round your answer to 4 decimal places.)
R-Squared =
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