Consider the following two securities X and Y.YSecurity ExpectedReturn Standard Deviation Beta12.5%10.0%Risk-free asset 5.0%OA. 1.33○ B. 0.88OC. 1.17OD. 1.6720.0%1.530.0%1.0

Step 1:Systematic risk will be reflected through beta and the beta of portfolio will be the weighted…

Answered: Consider the following two securities X…

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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Suppose you create a portfolio with two securities: Security Security Weight (%) Security Variance (%) X 70 18 Y 30 22 If the correlation coefficient between the two securities is -0.2, what is the standard deviation of the portfolio？
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What is the standard deviation of the portfolio that invests equally in all three assets M, N, and O?

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Consider the following two securities X and Y. Y Security Expected Return Standard Deviation Beta 12.5% 10.0% Risk-free asset 5.0% OA. 1.33 ○ B. 0.88 OC. 1.17 OD. 1.67 20.0% 1.5 30.0% 1.0