X has $10000 and wants to build the following portfolio Number Rate of Standard Beta Security Price per Position share of shares return deviation 0.21 $57 $98 $71 S1 short 130 -10.15 -1.19 S2 110 16.61 0.18 -0.31 long short S3 140 -11.95 0.16 -0.48 The risk-free rate is 3.26%. The correlation coefficients are P12 = -0.25, P13 = 0.88, and P23 = -0.41. The risk-free rate has a standard deviation of zero and a correlation of zero with all the securities. A-- Calculate the rate of return of the portfolio B-Calculate the portfolio beta C-- Calculate the standard deviation or une portfolio
X has $10000 and wants to build the following portfolio Number Rate of Standard Beta Security Price per Position share of shares return deviation 0.21 $57 $98 $71 S1 short 130 -10.15 -1.19 S2 110 16.61 0.18 -0.31 long short S3 140 -11.95 0.16 -0.48 The risk-free rate is 3.26%. The correlation coefficients are P12 = -0.25, P13 = 0.88, and P23 = -0.41. The risk-free rate has a standard deviation of zero and a correlation of zero with all the securities. A-- Calculate the rate of return of the portfolio B-Calculate the portfolio beta C-- Calculate the standard deviation or une 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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Transcribed Image Text:has $10000 and wants to build the following portfolio
Security Price per Position
share
Number
Rate of Standard
Beta
of shares
return
deviation
-10.15
$57
$98
$71
S1
short
130
0.21
-1.19
110
16.61
0.18
-0.31
long
short
S2
S3
140
-11.95
0.16
-0.48
The risk-free rate is 3.26%. The correlation coefficients are P12 = -0.25, P13 = 0.88, and P23 =
%3D
-0.41. The risk-free rate has a standard deviation of zero and a correlation of zero with all the
securities.
A-- Calculate the rate of return of the portfolio
B-Calculate the portfolio beta
C-- Calculate the standard deviation of ine portfolio
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