U.S. market portfolio: Variance: 0.12 Expected rate of return: 0.10 Foreign portfolio: Variance estimated based on dollar rate of return: 0.20 Expected dollar rate of return: 0.13 Correlation Coefficient (estimated based on dollar rate of return) between the U.S. market portfolio and the foreign portfolio: .50 What is the beta of the foreign portfolio?
U.S. market portfolio: Variance: 0.12 Expected rate of return: 0.10 Foreign portfolio: Variance estimated based on dollar rate of return: 0.20 Expected dollar rate of return: 0.13 Correlation Coefficient (estimated based on dollar rate of return) between the U.S. market portfolio and the foreign portfolio: .50 What is the beta of the foreign portfolio?
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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U.S. market portfolio:
Variance: 0.12
Expected
Foreign portfolio:
Variance estimated based on dollar rate of return: 0.20
Expected dollar rate of return: 0.13
Correlation Coefficient (estimated based on dollar rate of return) between the U.S. market portfolio and the foreign portfolio: .50
What is the beta of the foreign portfolio?
- please show calculation and explanation
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