Question
In the wonderland country, the roturn on the market portfolio is 14,45%, and standard deviation of markot return is 12,1% and the risk free
In the wonderland country, the roturn on the market portfolio is 14,45%, and standard deviation of markot return is 12,1% and the risk free return is 2,65%. You may form a portfolio with the securities X, Y and Z with the following characteristics: Paramotors Beta Socurity Z Security X Security Y (B) 1.07 25,4% 1.95 0,96 total risk Portiolio weight 38,5% 25% 23,8% 40% (wi) a) Which security has the lowest total risk? (0,5 points) b) If the market return decroase 0,85%, which is the expected impact in security Y return? (0.75 points) c) Determine the expected beta and expected return of the portfolio with weights as represented in the table above. (1 point) d) Determine the unsystematic risk associated to security X.
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Statistics The Exploration & Analysis Of Data
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0840058012, 978-0840058010
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