You are trying to construct a mimicking portfolio using 3 assets. The target Beta on your portfolio is -1.5. Asset 1 has a beta of 0, Asset 2 has a Beta of 1 and Asset 3 has a Beta of 2.5. You are required to hold 10% of your mimicking portfolio in Asset 3.

The resulting weights for the other two assets in the mimicking portfolio are w(asset 1) = _________ % and w(asset 2) = _______%

How many of these are equal to zero for the risk-free asset: expected return, actual return, variance, standard deviation, covariance with the market portfolio, covariance with the average asset, beta to a diversified stock portfolio (there are 7 in the list)

A 3

B 4

C 5

D 6

E 7

Given the following returns, what is the covariance between asset A and asset B? State Boom Normal Bust Asset A Return Asset B Return .24 .02 .08 .02 --22 .02 Construct the mimicking portfolio using a risk-free asset and the market index if the B on your " well-diversified portfolio is 1.5. That is, give the weights for both the risk free asset and the market portfolio in P=(wrf, Wm)