Quiz# 5 (Q) The following are estimates for four risk assets (A,B,C,D). The portfolio P is...

 

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Quiz# 5 (Q) The following are estimates for four risk assets (A,B,C,D). The portfolio P is an equal weighted portfolio of the four risk assets. Stock A Stock B Stock C Stock D Portfolio P weight 0.25 0.25 0.25 0.25 1.00 B 0.8 1.0 1.2 1.4 Systematic risk (S.D.) 16% 20% 24% 28% Residual risk(S.D.) 30% 35% 45% 40% Total risk (S.D.J 34.0% 40.3% 51.0% 48.8% Calculate systematic risk (standard deviation of systematic return) of the portfolio (%) Calculate residual risk (S.D.) of the portfolio (%) 3Calculate Pearson correlation between returns of A and B (Round to the third decimal place) 4 Explain why The CAPM is not testable (10-30words) Quiz# 5 (Q) The following are estimates for four risk assets (A,B,C,D). The portfolio P is an equal weighted portfolio of the four risk assets. Stock A Stock B Stock C Stock D Portfolio P weight 0.25 0.25 0.25 0.25 1.00 B 0.8 1.0 1.2 1.4 Systematic risk (S.D.) 16% 20% 24% 28% Residual risk(S.D.) 30% 35% 45% 40% Total risk (S.D.J 34.0% 40.3% 51.0% 48.8% Calculate systematic risk (standard deviation of systematic return) of the portfolio (%) Calculate residual risk (S.D.) of the portfolio (%) 3Calculate Pearson correlation between returns of A and B (Round to the third decimal place) 4 Explain why The CAPM is not testable (10-30words)

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To calculate the systematic risk standard deviation of systematic return of the portfolio 1 textSyst... View the full answer