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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 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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