Question
You've assembled the following portfolio: Stock Beta Portfolio weight 1 1.7 0.4 2 1.1 0.3 3 0.7 0.3 The expected market return is 9% and
You've assembled the following portfolio:
| Stock | Beta | Portfolio weight |
|---|---|---|
| 1 | 1.7 | 0.4 |
| 2 | 1.1 | 0.3 |
| 3 | 0.7 | 0.3 |
The expected market return is 9% and the risk-free rate is 2%. Assume that the CAPM holds.
a. What is the beta of the portfolio?
b.What is the expected return of your portfolio?
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Fundamentals of Investments Valuation and Management
Authors: Bradford D. Jordan, Thomas W. Miller
5th edition
978-007728329, 9780073382357, 0077283295, 73382353, 978-0077283292
