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You have researched three securities you would like to add to your passive investment in an S&P index. You have projected E(R), S and beta
You have researched three securities you would like to add to your passive investment in an S&P index. You have projected E(R), S and beta for the three securities. Total Required Risk Return (S) (K) 18% 17% Beta (B) 0.8 Idiosyncratic risk (Se) Jensen a Expected Symbol Return DPZ 13% TECH 12% AKAM 14% S&P 9% RE 2% 1.2 20% 1.1 12% a. Fill in the missing information in the table b. Create an active portfolio invested in the three securities (find the weights for each security) C. Calculate your Active portfolio's alpha, beta, total risk (S) and idiosyncratic risk (Se). d. Calculate your allocation (%) to the active portfolio (WA) e. Calculate the E(R) and S of your total investment (passive + active) You have researched three securities you would like to add to your passive investment in an S&P index. You have projected E(R), S and beta for the three securities. Total Required Risk Return (S) (K) 18% 17% Beta (B) 0.8 Idiosyncratic risk (Se) Jensen a Expected Symbol Return DPZ 13% TECH 12% AKAM 14% S&P 9% RE 2% 1.2 20% 1.1 12% a. Fill in the missing information in the table b. Create an active portfolio invested in the three securities (find the weights for each security) C. Calculate your Active portfolio's alpha, beta, total risk (S) and idiosyncratic risk (Se). d. Calculate your allocation (%) to the active portfolio (WA) e. Calculate the E(R) and S of your total investment (passive + active)
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