In Problem 3, assume that the correlation of returns on portfolio Y to returns on the market

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In Problem 3, assume that the correlation of returns on portfolio Y to returns on the market is .75. What is the percentage of portfolio Y€™s return that is driven by the market?


Data From Problem 3

You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset:Portfolio R. 12% 29% 1.25 11 24 1.10 14 0.75 Market 10 19 1.00 Risk-free 4 What are the Sharpe ratio, Treynor ratio, and Jensen€™s alpha for each portfolio?

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Fundamentals of Investments, Valuation and Management

ISBN: 978-1259720697

8th edition

Authors: Bradford Jordan, Thomas Miller, Steve Dolvin

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