Question
You have been provided the following data on the securities of three firms and the market: Security E[Ri] i iM i A 0.13 0.12 .75
You have been provided the following data on the securities of three firms and the market:
| Security | E[Ri] | i | iM | i |
| A | 0.13 | 0.12 | .75 | 0.90 |
| B | 0.16 | .275 | 0.40 | 1.10 |
| C | 0.25 | 0.24 | 0.75 | 1.8 |
| Market | 0.15 | 0.10 | 1 | 1 |
| Risk-free asset | 0.05 | 0 | 0 | 0 |
Suppose that you are currently holding a portfolio consisting of Firm B only. If you increase your portfolio weight on Firm B by 0.2 (or 20%) and borrow the needed money at the risk-free rate, what will be the new standard deviation of your portfolio?
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Finance Capital Markets Financial Management And Investment Management
Authors: Frank J. Fabozzi, Pamela Peterson Drake
1st Edition
0470407352, 978-0470407356
