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You own a portfolio which is 25 percent invested in U.S. Treasury bills, 30 percent invested in Stock A with a beta of 0.80, 25
You own a portfolio which is 25 percent invested in U.S. Treasury bills, 30 percent invested in Stock A with a beta of 0.80, 25 percent invested in stock B with a beta of 1.40, and the remainder is invested in stock C. Stock C is equally as risky as the market. The risk-free rate of return (Rf) is 2.50 percent and the expected return on the market (E(Rm)) is 15 percent. What is the portfolio beta? [Use the fact that the beta of the market portfolio is 1 and the beta of the risk-free asset, such as Treasury bills, is zero]
0.79 | ||
0.80 | ||
1.04 | ||
1.07 | ||
1.10 |
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