Assume a portfolio with the following total holdings: Fund A B Shares 150,000 100,000 Price $20...

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Assume a portfolio with the following total holdings: Fund A B Shares 150,000 100,000 Price $20 $50 Beta 1.50 0.80 In addition, $2 million are invested in T-bill. T-bills rate of return (risk free) is 2.00% and the market risk premium is 5.0%. a. Calculate the portfolio beta and expected return b. Can you suggest a portfolio (weights and $ investment) using fund A and fund B (no T-bill) with a 2.0 beta? Using the same total value, as in (a), report the number of shares and position in A and B. Assume a portfolio with the following total holdings: Fund A B Shares 150,000 100,000 Price $20 $50 Beta 1.50 0.80 In addition, $2 million are invested in T-bill. T-bills rate of return (risk free) is 2.00% and the market risk premium is 5.0%. a. Calculate the portfolio beta and expected return b. Can you suggest a portfolio (weights and $ investment) using fund A and fund B (no T-bill) with a 2.0 beta? Using the same total value, as in (a), report the number of shares and position in A and B.

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To calculate the portfolio beta and expected return we need to use the following formulas Portfolio Beta p wA A wB B Expected Return Expected Return R... View the full answer