Question
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio R P P P X 12.5 % 34
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset:
| Portfolio | RP | P | P | ||
| X | 12.5 | % | 34 | % | 1.50 |
| Y | 11.5 | 29 | 1.20 | ||
| Z | 7.1 | 19 | 0.80 | ||
| Market | 10.5 | 24 | 1.00 | ||
| Risk-free | 6.2 | 0 | 0 | ||
Assume that the correlation of returns on Portfolio Y to returns on the market is 0.68. What is the percentage of Portfolio Ys return that is driven by the market?
R-Squared: ???????
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Forecasting Principles And Practice
Authors: Rob J Hyndman, George Athanasopoulos
1st Edition
0987507109, 978-0987507105
