21. Assume the expected market return is 9%, the market variance is 0.025, and the T-Bill...

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21. Assume the expected market return is 9%, the market variance is 0.025, and the T-Bill rate is 3%. For a portfolio with the following weights: 70% in AAPL, 15% in MMM, 15% in XOM. Form a zero-beta portfolio and report the weights in the active and passive portfolios as well as the alpha for the zero-beta portfolio. Beta Variance (Return) Return Variance (Residual) AAPL 0.14 1.4 0.080 МММ 0.10 1.1 0.055 Хом 0.09 0.9 0.025 21. Assume the expected market return is 9%, the market variance is 0.025, and the T-Bill rate is 3%. For a portfolio with the following weights: 70% in AAPL, 15% in MMM, 15% in XOM. Form a zero-beta portfolio and report the weights in the active and passive portfolios as well as the alpha for the zero-beta portfolio. Beta Variance (Return) Return Variance (Residual) AAPL 0.14 1.4 0.080 МММ 0.10 1.1 0.055 Хом 0.09 0.9 0.025

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Before I start Id like to point out that the portfolio weights exceed 1 in totality plea... View the full answer