Question
You are given the following information regarding the level of systematic risk of securities A, B and C: Beta (A) = 0.8 Beta (B) =
You are given the following information regarding the level of systematic risk of securities A, B and C: Beta (A) = 0.8 Beta (B) = 1.2 Beta (C) = To be calculated
In addition, you have the following data: * Expected rate of return of the market portfolio 12% * Rate of return on treasury bills 5% * Required rate of return on title C (according to the CAPM) 14%
Form a portfolio with securities A and B so that the beta coefficient of this portfolio is equal to the beta coefficient of security C. what will be the weightings of the two securities in this portfolio?
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International Financial Management
Authors: Jeff Madura
7th Edition
0324071744, 978-0324071740
