The following table shows risk and return measures for Coca-Cola and Intel. Stock Expected Return Volatility Coca-Cola 13.6% Intel 15.4% 15% 23% The correlation coefficient between the returns of Coca-Cola and Intel is 0.27. What is the volatility of the minimum-variance portfolio consisting of Coca-Cola and Intel? Assume there are no short-sale restrictions.

The following table shows risk and return measures for Coca-Cola and Intel. Stock Expected Return Volatility Coca-Cola 13.6% Intel 15.4% 15% 23% The correlation coefficient between the returns of Coca-Cola and Intel is 0.27. What is the volatility of the minimum-variance portfolio consisting of Coca-Cola and Intel? Assume there are no short-sale restrictions.

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 there are two independent economic factors, M₁ and M2. The risk-free rate is 6%, and all stocks have independent firm- specific components with a standard deviation of 58%. Portfolios A and B are both well diversified. Portfolio Beta on M1 Beta on M2 A 1.7- 2.4 2.3 -0.8 Expected Return (%) 37 10 B Required: What is the expected return-beta relationship in this economy? Note: Do not round intermediate calculations. Round your answers to 2 decimal places. Expected return-beta relationship E(rp) = % + BP1+ BP2
Use excel form.
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