Securities A B C D E 7 Select one: Expected Standard Return (in %) Deviation of with 4.11 15.55 8.12 8.20 12.50 A. 2.50% Correlation 19 36.7 10 Returns (in %) Portfolio 24.5 14 Market 0.56 0.78 0.42 0.99 Beta The standard deviation of the returns on the market portfolio is 15%, and its expected return is 9.5%. The riskless asset has a return of 2.5%. 0.23 1.37 0.52 0.68 0.92 Which of the following results is closest to the unsystematic risk of a portfolio comprised of 60% of security A and 40% of security B given that the correlation between security A and B (P(A,B)) is 0.4?

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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Securities
A
B
C
D
E
4
Select one:
OA. 2.50%
O B. 3.73%
OC. 1.98%
Expected
Standard
Return (in %) Deviation of with
4.11
15.55
8.12
8.20
12.50
O D. 2.79%
Correlation Beta
19
36.7
10
24.5
14
Returns (in %) Portfolio
Market
0.56
0.78
0.42
0.99
The standard deviation of the returns on the market portfolio is 15%, and its expected return is
9.5%. The riskless asset has a return of 2.5%.
Which of the following results is closest to the unsystematic risk of a portfolio
comprised of 60% of security A and 40% of security B given that the correlation
between security A and B (P(A,B)) is 0.4?
0.23
1.37
0.52
0.68
0.92
Transcribed Image Text:Securities A B C D E 4 Select one: OA. 2.50% O B. 3.73% OC. 1.98% Expected Standard Return (in %) Deviation of with 4.11 15.55 8.12 8.20 12.50 O D. 2.79% Correlation Beta 19 36.7 10 24.5 14 Returns (in %) Portfolio Market 0.56 0.78 0.42 0.99 The standard deviation of the returns on the market portfolio is 15%, and its expected return is 9.5%. The riskless asset has a return of 2.5%. Which of the following results is closest to the unsystematic risk of a portfolio comprised of 60% of security A and 40% of security B given that the correlation between security A and B (P(A,B)) is 0.4? 0.23 1.37 0.52 0.68 0.92
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