An investor holds a portfolio of 3 securities. She invests 30 per cent in A, 30 per
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An investor holds a portfolio of 3 securities. She invests 30 per cent in A, 30 per cent in B, and 40 per cent in C. The betas on A, B, and C are 1.5, 0.6 and 1.1 respectively. If E(RM) = 12% and RF = 4%, calculate the expected return and beta of the portfolio.
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Corporate Finance
ISBN: 9780077173630
3rd Edition
Authors: David Hillier, Stephen A. Ross, Randolph W. Westerfield, Bradford D. Jordan, Jeffrey F. Jaffe
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