A stock has a beta of 1.8 and an expected return of 13 percent. A risk-free asset currently earns 3.2 percent. a. What is the expected return on a portfolio that is equally invested in the two assets? (Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) Expected return % b. If a portfolio of the two assets has a beta of .99, what are the portfolio weights? (Do not round intermediate calculations and round your answers to 2 decimal places, e.g., 32.16.) Weight of stock Risk-free weight c. If a portfolio of the two assets has an expected return of 9 percent, what is its beta? (Do not round intermediate calculations and round your answer to 3 decimal places, e.g., 32.161.) Beta d. If a portfolio of the two assets has a beta of 3.6, what are the portfolio weights? (Do not round intermediate calculations. A negative answer should be indicated by a minus sign. Round your answers to the nearest whole number, e.g., 32.) Weight of stock Risk-free weight
A stock has a beta of 1.8 and an expected return of 13 percent. A risk-free asset currently earns 3.2 percent.
a. What is the expected return on a portfolio that is equally invested in the two assets? (Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.)
Expected return %
b. If a portfolio of the two assets has a beta of .99, what are the portfolio weights? (Do not round intermediate calculations and round your answers to 2 decimal places, e.g., 32.16.)
Weight of stock | |
Risk-free weight | |
c. If a portfolio of the two assets has an expected return of 9 percent, what is its beta? (Do not round intermediate calculations and round your answer to 3 decimal places, e.g., 32.161.)
Beta
d. If a portfolio of the two assets has a beta of 3.6, what are the portfolio weights? (Do not round intermediate calculations. A negative answer should be indicated by a minus sign. Round your answers to the nearest whole number, e.g., 32.)
Weight of stock | |
Risk-free weight | |
Trending now
This is a popular solution!
Step by step
Solved in 10 steps with 5 images