Question
You would like to combine a very risky stock with a beta of 1.85 with U.S. Treasury bills in such a way that the risk
You would like to combine a very risky stock with a beta of 1.85 with U.S. Treasury bills in such a way that the risk level of the portfolio is equivalent to the risk level of the overall market. What percentage of the portfolio should be invested in the risky stock?
| 32 percent | ||
| 40 percent | ||
| 54 percent | ||
| 60 percent | ||
| 68 percent |
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Management Science The Art Of Modeling With Spreadsheets
Authors: Stephen G. Powell, Kenneth R. Baker
3rd Edition
0470530677, 978-0470530672
