Question: Consider the following information: a) Which security has the highest systematic risk? Why? b) What is the systematic risk of the portfolio? c) Is the

Consider the following information:

Consider the following information: a) Which security has the highest systematic risk?

a) Which security has the highest systematic risk? Why?

b) What is the systematic risk of the portfolio?

c) Is the systematic risk of the portfolio more or less than the market? Why?

d) Can we claim unsystematic (residual) risk of Security C is greater than unsystematic risk of Security D?

Beta Stock Security A Security B Security C Security D Weights 13.30% 20.00% 26.70% 40.00% 2.69 0.2 Standard Deviation 40% 40% 25% 25% 2.16 2.4

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