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a. What is the beta of the investor's portf b. What amount has the investor placed in portfolio B? The risk (standard deviation) of A is 4% and the covariance between A and B is 0.24%. c. What is the expected return at equilibrium for a stock with a beta of 1.5 trading on this market? 00000s how would you construct an efficient portfolio on this

a. What is the beta of the investor's portf b. What amount has the investor placed in portfolio B? The risk (standard deviation) of A is 4% and the covariance between A and B is 0.24%. c. What is the expected return at equilibrium for a stock with a beta of 1.5 trading on this market? 00000s how would you construct an efficient portfolio on this

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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3. Consider two efficient portfolios A and B and a market index M with a return of 13% and a risk (standard deviation) of 5%. An investor will place 40000$ of his investment budget in portfolio A and the difference in B. The risk premium expected by the investor is 11.2% and the Sharpe ratio of his portfolio (combining A and B) is 2. a. What is the beta of the investor's portfolio? b. What amount has the investor placed in portfolio B? The risk (standard deviation) of A is 4% and the covariance between A and B is 0.24%. c. What is the expected return at equilibrium for a stock with a beta of 1.5 trading on this market? d. If you had a budget of 500000$ how would you construct an efficient portfolio on this market?
Transcribed Image Text:3. Consider two efficient portfolios A and B and a market index M with a return of 13% and a risk (standard deviation) of 5%. An investor will place 40000$ of his investment budget in portfolio A and the difference in B. The risk premium expected by the investor is 11.2% and the Sharpe ratio of his portfolio (combining A and B) is 2. a. What is the beta of the investor's portfolio? b. What amount has the investor placed in portfolio B? The risk (standard deviation) of A is 4% and the covariance between A and B is 0.24%. c. What is the expected return at equilibrium for a stock with a beta of 1.5 trading on this market? d. If you had a budget of 500000$ how would you construct an efficient portfolio on this market?
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