You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio Y Z Market Risk-free Rp 14.0% 13.0 9.2 11.1 6.6 R-squared Op 20.00% 15.00 5.00 10.00 0 Bp 1.80 1.30 0.85 1.00 0 Assume that the correlation of returns on Portfolio Y to returns on the market is 0.80. What percentage of Portfolio Y's return is driven by the market? Note: Enter your answer as a decimal not a percentage. Round your answer to 4 decimal places.

You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio Y Z Market Risk-free Rp 14.0% 13.0 9.2 11.1 6.6 R-squared Op 20.00% 15.00 5.00 10.00 0 Bp 1.80 1.30 0.85 1.00 0 Assume that the correlation of returns on Portfolio Y to returns on the market is 0.80. What percentage of Portfolio Y's return is driven by the market? Note: Enter your answer as a decimal not a percentage. Round your answer to 4 decimal places.

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter8: Analysis Of Risk And Return

Section: Chapter Questions

Problem 6P

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