An Index portfolio has expected return=6% and std. deviation=10%. Portfolio J has an expected return of 4%, a beta of .5 and std. deviation of 10%. Assuming the zero-beta index has a standard deviation of 4%, what is.

a) the expected return of the zero-beta portfolio?

b) the systematic risk of asset j assuming there is no risk-free rate?

c) the systematic risk of asset j assuming there is also a risk-free rate?

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Answer a The expected return of the zerobeta portfolio is 4 b The systematic risk of asset J assumin... View the full answer