In the wonderland country, the return on the market portfolio is 14,45%, and standard deviation of market return is 12,1% and the risk free return is 2,65%. You may form a portfolio with the securities X, Y and Z with the following characteristics: parameters security x security y security z beta 0.96 1.07 1,95 total risk 38.5% 25.4% 23.8% protifolio weight 25% 40% 35% Which security has the lowest total risk? b) If the market return decrease 0,85%, which is the expected impact in security Y return? c) Determine the expected beta and expected return of the portfolio with weights as represented in the table above. d) Determine the unsystematic risk associated to security X
In the wonderland country, the return on the market portfolio is 14,45%, and standard deviation of market return is 12,1% and the risk free return is 2,65%. You may form a portfolio with the securities X, Y and Z with the following characteristics: parameters security x security y security z beta 0.96 1.07 1,95 total risk 38.5% 25.4% 23.8% protifolio weight 25% 40% 35% Which security has the lowest total risk? b) If the market return decrease 0,85%, which is the expected impact in security Y return? c) Determine the expected beta and expected return of the portfolio with weights as represented in the table above. d) Determine the unsystematic risk associated to security 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
Related questions
Question
give me step by step solution
In the wonderland country, the return on the market portfolio is 14,45%, and standard deviation of market return is 12,1% and the risk free return is 2,65%. You may form a portfolio with the securities X, Y and Z with the following characteristics:
| parameters | security x | security y | security z |
| beta | 0.96 | 1.07 | 1,95 |
| total risk | 38.5% | 25.4% | 23.8% |
| protifolio weight | 25% | 40% | 35% |
Which security has the lowest total risk?
b) If the market return decrease 0,85%, which is the expected impact in security Y return?
c) Determine the expected beta and expected return of the portfolio with weights as represented in the table above.
d) Determine the unsystematic risk associated to security X
Expert Solution
This question has been solved!
Explore an expertly crafted, step-by-step solution for a thorough understanding of key concepts.
Step by step
Solved in 5 steps with 9 images
Knowledge Booster
Learn more about
Need a deep-dive on the concept behind this application? Look no further. Learn more about this topic, finance and related others by exploring similar questions and additional content below.Recommended textbooks for you
Essentials Of Investments
Finance
ISBN:
9781260013924
Author:
Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:
Mcgraw-hill Education,
Essentials Of Investments
Finance
ISBN:
9781260013924
Author:
Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:
Mcgraw-hill Education,
Foundations Of Finance
Finance
ISBN:
9780134897264
Author:
KEOWN, Arthur J., Martin, John D., PETTY, J. William
Publisher:
Pearson,
Fundamentals of Financial Management (MindTap Cou…
Finance
ISBN:
9781337395250
Author:
Eugene F. Brigham, Joel F. Houston
Publisher:
Cengage Learning
Corporate Finance (The Mcgraw-hill/Irwin Series i…
Finance
ISBN:
9780077861759
Author:
Stephen A. Ross Franco Modigliani Professor of Financial Economics Professor, Randolph W Westerfield Robert R. Dockson Deans Chair in Bus. Admin., Jeffrey Jaffe, Bradford D Jordan Professor
Publisher:
McGraw-Hill Education