Question
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio R P P P X 11.0 % 33
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset:
| Portfolio | RP | P | P | ||
| X | 11.0 | % | 33 | % | 1.45 |
| Y | 10.0 | 28 | 1.20 | ||
| Z | 8.1 | 18 | 0.75 | ||
| Market | 10.4 | 23 | 1.00 | ||
| Risk-free | 5.2 | 0 | 0 | ||
Assume that the correlation of returns on Portfolio Y to returns on the market is 0.66. What is the percentage of Portfolio Ys return that is driven by the market? (Round your answer to 4 decimal places.)
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Energy Finance And Economics Analysis And Valuation Risk Management And The Future Of Energy
Authors: Betty Simkins, Russell Simkins
1st Edition
1118017129, 978-1118017128
