The information of expected returns, betas, specific standard deviations of three assets, and their proportions in...
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The information of expected returns, betas, specific standard deviations of three assets, and their proportions in a portfolio is in the following table: Assets Expected return (%) Beta Specified standard deviation Coles Toyota T-bill 12 15 5 The standard deviation of market return is 15%. Required: Weight (%) 30 0.7 25 1.3 35 45 0 0 25 a. What are the expected portfolio return, portfolio beta and portfolio specific risk (specified standard deviation of returns) respectively? (5 marks) b. What are the standard deviation of the returns of Coles, Toyota, T-bill and the portfolio? (5 marks) c. What are the proportion of systematic risk to total risk for the portfolio and the correlation coefficient of the portfolio returns and the market returns? (2 marks) d. What are the correlation coefficient between Toyota stock returns and Coles stock returns? (2 marks) The information of expected returns, betas, specific standard deviations of three assets, and their proportions in a portfolio is in the following table: Assets Expected return (%) Beta Specified standard deviation Coles Toyota T-bill 12 15 5 The standard deviation of market return is 15%. Required: Weight (%) 30 0.7 25 1.3 35 45 0 0 25 a. What are the expected portfolio return, portfolio beta and portfolio specific risk (specified standard deviation of returns) respectively? (5 marks) b. What are the standard deviation of the returns of Coles, Toyota, T-bill and the portfolio? (5 marks) c. What are the proportion of systematic risk to total risk for the portfolio and the correlation coefficient of the portfolio returns and the market returns? (2 marks) d. What are the correlation coefficient between Toyota stock returns and Coles stock returns? (2 marks)
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Answer rating: 100% (QA)
Portfolio Analysis Well analyze the portfolio considering the provided information AssetsExpected Return BetaSpecific Standard DeviationWeight Coles12... View the full answer
Related Book For
Contemporary Financial Management
ISBN: 9780324289114
10th Edition
Authors: James R Mcguigan, R Charles Moyer, William J Kretlow
Posted Date:
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