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A d B: Expected Return (%) Standard Deviation of return (%) Beta Security A 15 18 0.9 Security B 18 22 1.4

A d B: Expected Return (%) Standard Deviation of return (%) Beta Security A 15 18 0.9 Security B 18 22 1.4

Essentials Of Investments
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
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(ii) Ms. Srishti, a prospective investor, has collected the following information pertaining to two securities A and B: Expected Return (%) Standard Deviation of return (%) Beta Security A Security B 15 18 18 22 0.9 1.4 The correlation coefficient between the returns on securities A and B is 0.75. If variance of returns on the market index is 225%, what would be the systematic risk of a portfolio consisting of these two securities in equal proportions?
Transcribed Image Text:(ii) Ms. Srishti, a prospective investor, has collected the following information pertaining to two securities A and B: Expected Return (%) Standard Deviation of return (%) Beta Security A Security B 15 18 18 22 0.9 1.4 The correlation coefficient between the returns on securities A and B is 0.75. If variance of returns on the market index is 225%, what would be the systematic risk of a portfolio consisting of these two securities in equal proportions?
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