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 % 38
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset:
| Portfolio | RP | P | P | ||
| X | 12.5 | % | 38 | % | 1.45 |
| Y | 11.5 | 33 | 1.15 | ||
| Z | 9.4 | 23 | 0.80 | ||
| Market | 11.9 | 28 | 1.00 | ||
| Risk-free | 6.2 | 0 | 0 | ||
Assume that the correlation of returns on Portfolio Y to returns on the market is 0.89. What is the percentage of Portfolio Ys return that is driven by the market?
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The Handbook Of International Trade And Finance
Authors: Anders Grath
4th Edition
0749475986, 978-0749475987
