Question: Consider data resulting from a regression of security returns on to the market index reflecting the market model as follows. Security Alpha Beta A 1.5

Consider data resulting from a regression of security returns on to the market index reflecting the market model as follows.

Security Alpha Beta A 1.5 1.7 B 2.5 0.8

3.A Calculate alpha of a portfolio consisting in 20 % allocation to security A and 80% allocation to security B.

3.B Calculate beta of a portfolio consisting in 20 % allocation to security A and 80% allocation to security B.

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