Question: 1.You are given the following information in the table below for security A, B and C. The market portfolio has a standard deviation of return

1.You are given the following information in the table below for security A, B and C. The market portfolio has a standard deviation of return at 18%.

Security i

i

E(Ri)

(ei)

A

0.9

6%

22%

B

0.6

7%

8.5%

C

1.7

9%

18%

a.Calculate the systematic risk for security A, B and C respectively.

b.Interpret the ei and (ei)

c.Which security has the highest Treynor ratio?

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