You've assembled the following portfolio:StockExpected returnBetaPortfolio weight10.1281.80.220.0861.10.630.0620.70.2 What is the beta of the portfolio?What is the expected return of your portfolio?

Beta is primarily used to calculate the systematic risk in the capital asset pricing model. The beta…

Answered: You've assembled the following…

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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Stock	Expected return	Beta	Portfolio weight
1	0.128	1.8	0.2
2	0.086	1.1	0.6
3	0.062	0.7	0.2

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The following figures show the optimal portfolio choice for two investors with different levels of risk-aversion graphically. Which statement is correct? E[R] 0.3 0.25 0.2 0.15 0.1 0.05 0 0 0.05 0.1 0.15 Figure 1 0.2 0.25 0.3 0.35 0.4 0.45 o (R) E[R] Figure (1) shows an investor with a conservative investment behavior. 0.3 0.25 0.2 0.15 0.1 0.05 0 0 Figure (2) shows an investor that borrows in risk-free rate and invests in the risky asset. 0.05 0.1 0.15 In the optimal point of both figures, the highest indifference curve is tangent to the efficient frontier. O In Figure (1), more aggressive investment decision led to a higher Sharpe ratio. Figure 2 0.2 0.25 o(R) 0.3 0.35 0.4 0.45
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You've assembled the following portfolio: Stock Expected return Beta Portfolio weight 1 0.128 1.8 0.2 2 0.086 1.1 0.6 3 0.062 0.7 0.2 What is the beta of the portfolio? What is the expected return of your portfolio?