ITEM 1 (Points 25)

Based on the data in the table below in which the average yield, the standard deviation of returns and the beta coefficient of portfolios A, B and C are given for a five-year period:

Portfolio	Average yield	Standard deviation	Beta factor
A	9%	2%	1,1
B	4%	3%	0,9
C	-3%	5%	0,8

A) i. Which portfolio has the greatest systematic risk?

ii. Which portfolio has the greatest overall risk?

B) Suppose we have a portfolio consisting of three

(3) shares with the following items:

Share	Weighting	Standard deviation (s)	Correlation with the market portfolio
A	0,3	0,12	0,38
B	0,3	0,24	0,62
C	0,4	0,11	0,51

The standard deviation of the market portfolio is 11%, the return on the market portfolio is 7%, and the annual risk-free interest rate is 4%.

Calculate the systematic risk and required return of each stock.

Calculate the performance of the portfolio of the three shares.

Calculate the systematic risk of the portfolio of the three shares.