B1 ẞ2 ẞ3 Stock A 2.15 1.15 .90 Stock B .92 1.75 -.35 Stock C .91 -.48 1.57 The risk premiums for the factors are 7.9 percent, 7.1 percent, and 7.5 percent, respectively. You create a portfolio with 20 percent invested in Stock A, 20 percent invested in Stock B, and the remainder in Stock C. The risk-free rate is 5 percent. What is the beta for each factor for the return on your portfolio? (Do not round intermediate calculations and round your answers to 2 decimal places, e.g., 32.16.) Factor F1 Factor F2 Factor F3 What is the expected return on your portfolio? (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) Expected return %
B1 ẞ2 ẞ3 Stock A 2.15 1.15 .90 Stock B .92 1.75 -.35 Stock C .91 -.48 1.57 The risk premiums for the factors are 7.9 percent, 7.1 percent, and 7.5 percent, respectively. You create a portfolio with 20 percent invested in Stock A, 20 percent invested in Stock B, and the remainder in Stock C. The risk-free rate is 5 percent. What is the beta for each factor for the return on your portfolio? (Do not round intermediate calculations and round your answers to 2 decimal places, e.g., 32.16.) Factor F1 Factor F2 Factor F3 What is the expected return on your portfolio? (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) Expected return %
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
Problem 1PS
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Question
Transcribed Image Text:B1
ẞ2
ẞ3
Stock A 2.15
1.15
.90
Stock B .92
1.75
-.35
Stock C .91
-.48
1.57
The risk premiums for the factors are 7.9 percent, 7.1 percent, and 7.5 percent,
respectively. You create a portfolio with 20 percent invested in Stock A, 20 percent
invested in Stock B, and the remainder in Stock C. The risk-free rate is 5 percent. What is
the beta for each factor for the return on your portfolio? (Do not round intermediate
calculations and round your answers to 2 decimal places, e.g., 32.16.)
Factor F1
Factor F2
Factor F3
What is the expected return on your portfolio? (Do not round intermediate calculations
and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.)
Expected return
%
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