In the wonderland country, the roturn on the market portfolio is 14,45%, and standard deviation of...
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In the wonderland country, the roturn on the market portfolio is 14,45%, and standard deviation of markot return is 12,1% and the risk free return is 2,65%. You may form a portfolio with the securities X, Y and Z with the following characteristics: Paramotors Beta Socurity Z Security X Security Y (B) 1.07 25,4% 1.95 0,96 total risk Portiolio weight 38,5% 25% 23,8% 40% (wi) a) Which security has the lowest total risk? (0,5 points) b) If the market return decroase 0,85%, which is the expected impact in security Y return? (0.75 points) c) Determine the expected beta and expected return of the portfolio with weights as represented in the table above. (1 point) d) Determine the unsystematic risk associated to security X. In the wonderland country, the roturn on the market portfolio is 14,45%, and standard deviation of markot return is 12,1% and the risk free return is 2,65%. You may form a portfolio with the securities X, Y and Z with the following characteristics: Paramotors Beta Socurity Z Security X Security Y (B) 1.07 25,4% 1.95 0,96 total risk Portiolio weight 38,5% 25% 23,8% 40% (wi) a) Which security has the lowest total risk? (0,5 points) b) If the market return decroase 0,85%, which is the expected impact in security Y return? (0.75 points) c) Determine the expected beta and expected return of the portfolio with weights as represented in the table above. (1 point) d) Determine the unsystematic risk associated to security X.
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Related Book For
Statistics The Exploration & Analysis of Data
ISBN: 978-1133164135
7th edition
Authors: Roxy Peck, Jay L. Devore
Posted Date:
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