Caluclate the portfolio reurn under Single Index model?

MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
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Assuming the return on market index to be 14.5 % and standard deviation of return on market index to be 16%

Caluclate the portfolio reurn under Single Index model?

Example 22: Consider a portfolio of six securities with the following
characteristics:
Residual Variance (per cent)
Security Weighting Alpha
---0.28
Beta
1
0.10
(0.91
23
0.15
0.76
0.87
60
3
0.20
2.52
1.71
52.
4
0.10
--0.16
0.97
86
0.25
1.55
1.07
67
0.20
0.47
0.86
82
Transcribed Image Text:Example 22: Consider a portfolio of six securities with the following characteristics: Residual Variance (per cent) Security Weighting Alpha ---0.28 Beta 1 0.10 (0.91 23 0.15 0.76 0.87 60 3 0.20 2.52 1.71 52. 4 0.10 --0.16 0.97 86 0.25 1.55 1.07 67 0.20 0.47 0.86 82
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