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
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset:
| Portfolio | RP | ?P | ?P | ||
| X | 12 | % | 29 | % | 1.25 |
| Y | 11 | 24 | 1.10 | ||
| Z | 8 | 14 | 0.75 | ||
| Market | 10 | 19 | 1.00 | ||
| Risk-free | 4 | 0 | 0 | ||
Assume that the correlation of returns on Portfolio Y to returns on the market is 0.85. What is the percentage of Portfolio Ys return that is driven by the risk specific to the portfolio's individual holdings?
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The Complete Guide To Capital Markets For Quantitative Professionals
Authors: Alex Kuznetsov
1st Edition
0071468293, 978-0071468299
