13. Analysing a portfolio [LO11.2, LO11.4] Suppose we had the following investments: AMOUNT EXPECTED SECURITY INVESTED...

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13. Analysing a portfolio [LO11.2, LO11.4] Suppose we had the following investments: AMOUNT EXPECTED SECURITY INVESTED $ RETURN % BETA 6 0.84 Pepper 9600 Salt 19200 8 1.05 Lemon 14400 10 1.26 Chili 4800 14 1.68 a. What are the portfolio weights? b. What is the expected return on the portfolio? C. What is the portfolio beta? d. If the standard deviation of the return on the portfolio is 11.14 per cent and the standard deviation of the market return is 9.5 per cent, what is the covariance and correlation of the portfolio with the market? 13. Analysing a portfolio [LO11.2, LO11.4] Suppose we had the following investments: AMOUNT EXPECTED SECURITY INVESTED $ RETURN % BETA 6 0.84 Pepper 9600 Salt 19200 8 1.05 Lemon 14400 10 1.26 Chili 4800 14 1.68 a. What are the portfolio weights? b. What is the expected return on the portfolio? C. What is the portfolio beta? d. If the standard deviation of the return on the portfolio is 11.14 per cent and the standard deviation of the market return is 9.5 per cent, what is the covariance and correlation of the portfolio with the market?

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To calculate the portfolio weights we need to divide the amount invested in each security by the tot... View the full answer